Real Estate Risk in Equity Returns: Empirical Evidence from U.S. Stock Markets
| AUTHOR | Michel, Gaston |
| PUBLISHER | Gabler Verlag (06/25/2009) |
| PRODUCT TYPE | Paperback (Paperback) |
Description
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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Product Format
Product Details
ISBN-13:
9783834917690
ISBN-10:
3834917699
Binding:
Paperback or Softback (Trade Paperback (Us))
Content Language:
English
More Product Details
Page Count:
167
Carton Quantity:
46
Product Dimensions:
5.83 x 0.41 x 8.27 inches
Weight:
0.52 pound(s)
Country of Origin:
US
Subject Information
BISAC Categories
Business & Economics | Finance - General
Business & Economics | Public Finance
Dewey Decimal:
332.632
Descriptions, Reviews, Etc.
publisher marketing
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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