Untertitel:: Empirical Evidence from U.S. Stock Markets
Verlag:: GABLER
Erschienen:: 03.08.2009
Seitenanzahl:: 167
ISBN:: 3834994960
EAN:: 9783834994967
Sprache:: Englisch
Format:: PDF
Schutz:: Dig. Wass.
Downloadzeit:: Maximaler Downloadzeitraum: 24 Monate

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Real Estate Risk in Equity Returns

Gaston Michel

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.