Real estate risk in equity returns : empirical evidence from U.S. stock markets
Author(s)
Bibliographic Information
Real estate risk in equity returns : empirical evidence from U.S. stock markets
（Gabler Edition Wissenschaft）（Schriftenreihe der European Business School, Bd. 72）
Gabler, 2009
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Thesis (doctoral)--European Business School, Oestrich-Winkel, 2009
Includes bibliographical references (p. 153-167)
Description and Table of Contents
Description
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Table of Contents
Fundamentals of Asset Pricing Theory, Cross Section of Equity Returns, Real Estate Risk as a Priced Factor, Estimation Methodology: ICAPM Framework, VAR Approach, Traditional Beta Method, Stochastic Discount Factor Method, Data: State Variables of Interest, Test Assets, Empirical Analysis
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