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Empirical Analysis

  • Gaston Michel

As outlined in Sections 2.3, shocks to real estate markets may be good candidate to serve as a proxy for state-variable risk in the framework of the ICAPM, based on the real economic effects implied by the three real estate channels. When movements in real estate markets are a relevant concern to investors, then real estate risk should affect equity returns. Hence, a stock's risk premium should be directly related to its exposure to shocks to real estate markets. This section investigates empirically whether a significant relationship between real estate risk and a stock's risk premium is supported in the data.

Keywords

Gross Domestic Product Real Estate Excess Return Real Estate Market Dividend Yield 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Gabler | GWV Fachverlage GmbH 2009

Authors and Affiliations

  • Gaston Michel

There are no affiliations available

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