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The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios
16 references·1 citing·43 second hop
The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios (2001)The Long-Term Advantages to Incorporating…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Do Real Estate Prices and Sto…Continental Factors in International Real Estate Returns (1998)Continental Factors in Intern…Does International Diversification Work Better for Real Estate than for Stocks and Bonds? (1996)Does International Diversific…The Predictability of REIT Returns and Market Segmentation (1995)The Predictability of REIT Re…Price Discovery in American and British Property Markets (1995)Price Discovery in American a…Home bias and high turnover (1995)Home bias and high turnoverHome Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Home Bias in Equity Portfolio…Temporal Aggregation in Real Estate Return Indices (1993)Temporal Aggregation in Real …Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Currency Hedging for International Portfolios (1993)Currency Hedging for Internat…What Does the Stock Market Tell Us About Real Estate Returns? (1992)What Does the Stock Market Te…The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…Risk and return in real estate (1991)Risk and return in real estateThe integration of the real estate market and the stock market: Some preliminary evidence (1990)The integration of the real e…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence (2022)Listed real estate futures tr…The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)Value indices of commercial real estate: A comparison of index construction methods (1994)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)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)Permanent and Temporary Components of Stock Prices (1988)The Causal Relationship Between Real Estate and Stock Markets (2000)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Markets contagion during financial crisis: A regime-switching approach (2010)The theory and practice of econometrics (1986)Investor Diversification and International Equity Markets (1991)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Stock Market Openings: Experience of Emerging Economies (2000)Full Disclosure (2007)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Business conditions and expected returns on stocks and bonds (1989)Economic Risk Factors and Commercial Real Estate Returns (1997)The Variation of Economic Risk Premiums in Real Estate Returns (1998)Forecasting Real Estate Prices (2013)An equilibrium model of the international capital market (1974)International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Investment Flows (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (2001)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Do socially (ir)responsible investments pay? New evidence from international ESG data (2015)
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References

  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1995Home bias and high turnover1,245 cited
  • 1994Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium671 cited
  • 1992What Does the Stock Market Tell Us About Real Estate Returns?438 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 1993Currency Hedging for International Portfolios316 cited
  • 1999Do Real Estate Prices and Stock Prices Move Together? An International Analysis294 cited
  • 1991Risk and return in real estate292 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1995Price Discovery in American and British Property Markets273 cited
  • 1990The integration of the real estate market and the stock market: Some preliminary evidence216 cited
  • 1996Does International Diversification Work Better for Real Estate than for Stocks and Bonds?161 cited
  • 1995The Predictability of REIT Returns and Market Segmentation139 cited
  • 1993Temporal Aggregation in Real Estate Return Indices

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136 cited
  • 1998Continental Factors in International Real Estate Returns127 cited
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    • 2022Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence19 cited