Sinossi
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.
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Informazioni sull?autore
Dr. Gaston Michel promovierte am Stiftungslehrstuhl für Asset Management bei Prof. Dr. Lutz Johanning.
Dalla quarta di copertina
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.
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Real Estate Risk in Equity Returns: Empirical Evidence from U.S. Stock Markets (ebs-Forschung, Schriftenreihe der EUROPEAN BUSINESS SCHOOL Schloß Reichartshausen)
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Real Estate Risk in Equity Returns: Empirical Evidence from U.S. Stock Markets (ebs-Forschung, Schriftenreihe der EUROPEAN BUSINESS SCHOOL Schloß Reichartshausen, 72)
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Real Estate Risk in Equity Returns
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Asset pricing theory aims at linking an asset's higher return to its higher risk exposure. However, the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), the most widely taught model in business and economics classes, has been largely contested in the literature by researchers finding anomalous patterns in equity returns. Based on the failure to match the CAPM with empirical data, researchers have been in an ongoing dispute whether the anomalous behavior in equity returns is still reconcilable with market equilibrium and, therefore, with a risk-based explanation, or must be seen as consequences of investors' irrational behavior and the agency costs of professional investment management. To support a rational pricing story, Fama and French (1992, 1993, 1996) develop a three-factor model that is highly successful in c- turing the two well-known anomalies related to a stock's market capitalization and valuation level, the size and book-to-market effects. They argue that their model must be seen in the context of Merton's (1973) Intertemporal Capital Asset Pricing Model (ICAPM) so that their size and book-to-market factors act as state variables capturing the investor's hedging motives. They consider relative distress risk as the economic source of the common variation in stock returns related to their factors. 167 pp. Englisch. Codice articolo 9783834917690
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Real Estate Risk In Equity Returns: Empirical Evidence From U.S. Stock Markets. Thesis, Ebs 2009
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Dr. Gaston Michel promovierte am Stiftungslehrstuhl fuer Asset Management bei Prof. Dr. Lutz Johanning.Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of . Codice articolo 5380864
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