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Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns
16 references·3 citing·30 second hop
Asset Location, Timing Ability and the Cross‐Section of Commercial Real Estate Returns (2016)Asset Location, Timing Ability and the Cr…Do Market Timing Hedge Funds Time the Market? (2007)Do Market Timing Hedge Funds …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Monthly Measurement of Daily Timers (2000)Monthly Measurement of Daily …Commercial Real Estate Analysis and Investments (2000)Commercial Real Estate Analys…Can book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Do Investment-Cash Flow Sensi…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Diversification Categories in Investment Real Estate (1986)Diversification Categories in…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Rewarding a Long-Term Investment Strategy: REITs (2021)Rewarding a Long-Term Investm…Asset productivity, local information diffusion, and commercial real estate returns (2021)Asset productivity, local inf…The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs (2020)The Effect of Legal Environme…The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Managing with Style: The Effect of Managers on Firm Policies (2003)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)A skeptical appraisal of asset pricing tests☆ (2009)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 1997Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?6,790 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2000Commercial Real Estate Analysis and Investments549 cited
  • 2007Do Market Timing Hedge Funds Time the Market?329 cited
  • 1986Diversification Categories in Investment Real Estate

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266 cited
  • 2000Monthly Measurement of Daily Timers241 cited
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    • 2021Asset productivity, local information diffusion, and commercial real estate returns39 cited
    • 2021Rewarding a Long-Term Investment Strategy: REITs28 cited
    • 2020The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs19 cited