Titlebook: Real Estate Risk in Equity Returns; Empirical Evidence f Gaston Michel Book 2009 Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesba

considerable

镇压

SYN

Nomadic

Introduction,% from January 2000 to June 2006 according to the S&P/Case-Shiller home price index. However, since then, the boom in real estate markets has quickly turned into a bust, with prices dropping by more than 25% in real terms until June 2008. This dramatic decline in U.S. house values lies at the root o

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nautical

incredulity

Data,he market factor within the ICAPM framework that enter the VAR estimation. These variables are the real estate factor (Section 4.1.1), the three factors of the Fama-French model (Section 4.1.2), and the Petkova factors (Section 4.1.3). Section 4.2 presents the test assets used in the timeseries and

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Empirical Analysis,CAPM, based on the real economic effects implied by the three real estate channels. When movements in real estate markets are a relevant concern to investors, then real estate risk should affect equity returns. Hence, a stock‘s risk premium should be directly related to its exposure to shocks to rea

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Literature Review,this study. The CAPM (Section 2.1.1) has constituted the null hypothesis in many empirical studies and is rejected by the Fama- French model. Fama and French (1996) argue that their model may be consistent with the ICAPM (Section 2.1.2) or the APT (Section 2.1.3).