Real Estate Risk in Equity Returns
| Author | : Gaston Michel |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 182 |
| Release | : 2009-08-03 |
| ISBN-10 | : 9783834994967 |
| ISBN-13 | : 3834994960 |
| Rating | : 4/5 (960 Downloads) |
Book Synopsis Real Estate Risk in Equity Returns by : Gaston Michel
Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Springer Science & Business Media. This book was released on 2009-08-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
