Asset PricingReal estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students." |
Contents
Real Estate Analysis in a Dynamic Risk Environment | 1 |
2 The Predictability of Returns on Equity REITs and their Comovement with Other Assets | 21 |
3 The Predictability of Real Estate Returns and Market Timing | 47 |
4 A Timevarying Risk Analysis of Equity and Real Estate Markets in the US and Japan | 77 |
5 Price Reversal Transaction Costs and Arbitrage Profits in Real Estate Securities Market ... | 101 |
An Asset Pricing Perspective | 119 |
Implications for Commercial Real Estate Investment | 155 |
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Common terms and phrases
1-month arbitrage asset classes asset returns autocorrelated beta beta coefficient Campbell cap rate center banks coefficients conditional expected conditional risk premiums Corp dividend yield Equity REITs EREITs estimated expected excess returns F-test Ferson Financial Economics forecasting variables future expected returns government bond Hamao insurance stocks interest rate investors January effect Japanese real estate Japanese stocks Journal of Financial Journal of Real Liu and Mei Malaysia market portfolio matrix MCBs mean excess returns NAREIT NMCBs predictability rank restriction real estate assets real estate factor Real Estate Finance real estate investment real estate market real estate returns real estate securities real estate stocks Realty regression REITs relative return reversals return series returns on Japanese returns on real serial correlation small cap stocks small stocks stock market stocks and real T-bill Table trading strategy U.S. dollar U.S. stocks value-weighted value-weighted stocks variance variation