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Listed Real Estate as an Inflation Hedge Across Regimes
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Listed Real Estate as an Inflation Hedge Across Regimes (2023)Listed Real Estate as an Inflation Hedge …Are gold and silver a hedge against inflation? A two century perspective (2015)Are gold and silver a hedge a…Gold as an inflation hedge in a time-varying coefficient framework (2012)Gold as an inflation hedge in…Understanding Inflation-Indexed Bond Markets (2009)Understanding Inflation-Index…The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach (2007)The Inflation Hedging Charact…Low inflation, pass-through, and the pricing power of firms (2000)Low inflation, pass-through, …International Evidence on Real Estate Securities as an Inflation Hedge (1997)International Evidence on Rea…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings (1988)Owner-occupied homes, income-…Interest-Rate Sensitivity of Real Estate Investment Trusts (1988)Interest-Rate Sensitivity of …Historic Returns and Institutional Real Estate Portfolios (1982)Historic Returns and Institut…Some Unpleasant Monetarist Arithmetic (1981)Some Unpleasant Monetarist Ar…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)The arbitrage theory of capital asset pricing (1976)Price Discovery in American and British Property Markets (1995)The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)INFLATION AND RATES OF RETURN ON COMMON STOCKS (1976)Stock returns and inflation (1987)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)Monetary policy rules in practice (1998)Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter? (2001)Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Exchange Rate Pass-Through into Import Prices (2005)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 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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Reassessing the role of precious metals as safe havens–What colour is your haven and why? (2017)Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle (2022)Socio-Economic Impacts and Challenges of the Coronavirus Pandemic (COVID-19): An Updated Review (2022)Economic Forces and the Stock Market (1986)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Statistical analysis of cointegration vectors (1988)On the economic determinants of the gold–inflation relation (2014)The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)The monetary dynamics of hyperinflation (1956)Macroeconomics and Politics (1988)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Presidential Address: Discount Rates (2011)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Some Unpleasant Monetarist Arithmetic1,723 cited
  • 2000Low inflation, pass-through, and the pricing power of firms1,354 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 2012Gold as an inflation hedge in a time-varying coefficient framework213 cited
  • 2015Are gold and silver a hedge against inflation? A two century perspective182 cited
  • 2009Understanding Inflation-Indexed Bond Markets163 cited
  • 2007The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach154 cited
  • 1997International Evidence on Real Estate Securities as an Inflation Hedge143 cited
  • 1988Owner-occupied homes, income-producing properties, and REITs as inflation hedges: Empirical findings128 cited
  • 1988Interest-Rate Sensitivity of Real Estate Investment Trusts

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126 cited
  • 1982Historic Returns and Institutional Real Estate Portfolios126 cited
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