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Higher Real Estate Risk and Mixed-Asset Portfolio Performance
14 references·4 citing·41 second hop
Higher Real Estate Risk and Mixed-Asset Portfolio Performance (1997)Higher Real Estate Risk and Mixed-Asset P…The Historical Environment of Real Estate Returns (1995)The Historical Environment of…Real Estate Market Efficiency: Issues and Evidence (1995)Real Estate Market Efficiency…Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Risk and return in real estate (1991)Risk and return in real estateForecasting Prices and Excess Returns in the Housing Market (1990)Forecasting Prices and Excess…Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns (1989)Estimating Real Estate's Syst…Bias in Appraisal‐Based Returns (1989)Bias in Appraisal‐Based Retur…DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS* (1988)DIVERSIFICATION GAINS FROM IN…A Note on the use of Appraisal Data in Indexes of Performance Measurement (1988)A Note on the use of Appraisa…The Cyclic Behavior of the National Office Market (1987)The Cyclic Behavior of the Na…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Towards Indices of Real Estate Value and Return (1980)Towards Indices of Real Estat…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…Real Estate in an ALM Framework: The Case of Fair Value Accounting (2010)Real Estate in an ALM Framewo…How Funding Ratios Affect Pension Plan Portfolio Allocations (2005)How Funding Ratios Affect Pen…Private Equity-, Stock- and Mixed Asset-Portfolios: A Bootstrap Approach to Determine Performance Characteristics, Diversification Benefits and Optimal Portfolio Allocations (2003)Private Equity-, Stock- and M…The Efficiency of the Market for Single-Family Homes (1988)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Empirical Tests of the Consumption‐Oriented CAPM (1989)Smoothing in Commercial Property Valuations: Evidence from Individual Appraisals (2001)Do Out‐of‐State Buyers Pay More for Real Estate? An Examination of Anchoring‐Induced Bias and Search Costs (2004)Illiquidity and Pricing Biases in the Real Estate Market (2007)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)The effect of personal taxes and dividends on capital asset prices (1979)Commercial Real Estate Returns (1984)Unsmoothing British valuation‐based returns without assuming an efficient market (1994)The Role of Real Estate in the Portfolio Allocation Process (1996)The information content of discounts and premiums on closed-end fund shares (1978)A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2008)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Integration of Commercial Real Estate Markets and Stock Markets (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Price formation and the appraisal function in real estate markets (1991)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Property Market Efficiency: An Institutional Economics Perspective (1999)House Price Dynamics: A Survey of Theoretical and Empirical Issues (2001)Boom–Bust Cycles and the Forecasting Performance of Linear and Non-Linear Models of House Prices (2007)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Dividend yields and expected stock returns (1988)Bubbles in Metropolitan Housing Markets (1994)A Simple Error Correction Model of House Prices (1999)Money Illusion and Housing Frenzies (2007)Vacancy Rates and the Future of Office Rents (1988)The persistence of real estate cycles (1995)The Cyclic Behavior of the Greater London Office Market (1997)
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References

  • 1990Forecasting Prices and Excess Returns in the Housing Market582 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1991Risk and return in real estate292 cited
  • 1987The Cyclic Behavior of the National Office Market254 cited
  • 1989Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns185 cited
  • 1980Towards Indices of Real Estate Value and Return135 cited
  • 1995Real Estate Market Efficiency: Issues and Evidence132 cited
  • 1989Bias in Appraisal‐Based Returns121 cited
  • 1988A Note on the use of Appraisal Data in Indexes of Performance Measurement93 cited
  • 1988DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS*88 cited
  • 1995The Historical Environment of Real Estate Returns61 cited

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  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited

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  • 2010Real Estate in an ALM Framework: The Case of Fair Value Accounting24 cited
  • 2005How Funding Ratios Affect Pension Plan Portfolio Allocations18 cited
  • 2003Private Equity-, Stock- and Mixed Asset-Portfolios: A Bootstrap Approach to Determine Performance Characteristics, Diversification Benefits and Optimal Portfolio Allocations17 cited