Real Estate Risk in Equity Returns / ebs-Forschung, Schriftenreihe der EUROPEAN BUSINESS SCHOOL Schloß Reichartshausen Bd.72 (PDF)
Empirical Evidence from U.S. Stock Markets
(Sprache: Englisch)
"The central task of financial economics is to figure out what are the real risks that drive asset prices and expected returns." (John Cochrane in Asset Pricing, 2001). The ongoing debate in the financial economics literature between rational and irrational...
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"The central task of financial economics is to figure out what are the real risks that drive asset prices and expected returns." (John Cochrane in Asset Pricing, 2001). The ongoing debate in the financial economics literature between rational and irrational asset pricing theories highlights the importance of this task.
Gaston Michel aims at supporting the rational asset pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he 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 and captures most of the information in the prominent Fama and French (1993) size and book-to-market factors. In fact, he shows that an alternative model that which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Gaston Michel aims at supporting the rational asset pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he 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 and captures most of the information in the prominent Fama and French (1993) size and book-to-market factors. In fact, he shows that an alternative model that which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Autoren-Porträt von Gaston Michel
Dr. Gaston Michel promovierte am Stiftungslehrstuhl für Asset Management bei Prof. Dr. Lutz Johanning.
Bibliographische Angaben
- Autor: Gaston Michel
- 2009, 2009, 167 Seiten, Englisch
- Verlag: Gabler, Betriebswirt.-Vlg
- ISBN-10: 3834994960
- ISBN-13: 9783834994967
- Erscheinungsdatum: 03.08.2009
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Größe: 1.32 MB
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Sprache:
Englisch
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