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Real Estate Risk in Equity Returns: Empirical Evidence from U.S. Stock Markets

Real Estate Risk in Equity Returns: Empirical Evidence from U.S. Stock Markets

Paperback

Series: Ebs-Forschung, Schriftenreihe Der European Business School S, Book 72

Investing & Finance

ISBN10: 3834917699
ISBN13: 9783834917690
Publisher: Springer Nature
Published: Jun 25 2009
Pages: 167
Weight: 0.52
Height: 0.41 Width: 5.83 Depth: 8.27
Language: English
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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