Real estate risk in equity returns: empirical evidence from U.S. stock markets
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Wiesbaden
Gabler
2009
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | EBS-Forschung
72 |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017634493&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XX, 167 S. graph. Darst. |
| ISBN: | 9783834917690 |
Internformat
MARC
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| 245 | 1 | 0 | |a Real estate risk in equity returns |b empirical evidence from U.S. stock markets |c Gaston Michel |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Wiesbaden |b Gabler |c 2009 | |
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| 650 | 7 | |a Aktienmarkt |2 stw | |
| 650 | 7 | |a Börsenkurs |2 stw | |
| 650 | 7 | |a Capital Asset Pricing Model |2 stw | |
| 650 | 7 | |a Immobilien |2 stw | |
| 650 | 7 | |a Immobilienfonds |2 stw | |
| 650 | 4 | |a Immobilienmarkt - Capital-Asset-Pricing-Modell - Arbitrage-Pricing-Theorie | |
| 650 | 7 | |a Kapitalertrag |2 stw | |
| 650 | 7 | |a Risiko |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a USA |2 stw | |
| 650 | 7 | |a Wertpapieranalyse |2 stw | |
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| 650 | 0 | 7 | |a Arbitrage-Pricing-Theorie |0 (DE-588)4112584-8 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1819252386217066496 |
|---|---|
| adam_text | IX
Overview
List of Tables
...............................................................................................................
XV
List of Figures
...........................................................................................................XVII
List of Abbreviations
.................................................................................................XIX
1
Introduction
..........................................................................................................1
1.1
Background and Objective
........................................................................1
1.2
Organization of the Dissertation
................................................................3
2
Literature Review
.*·...*..........................*.....···......................................................7
2.1
Fundamentals of Asset Pricing Theory
.....................................................7
2.2
Cross Section of Equity Returns
..............................................................25
2.3
Real Estate Risk as a Priced Factor
.........................................................38
2.4
Summary and Implications
......................................................................45
3
Estimation Methodology
...................................................................................47
3.1
ICAPM Framework
.................................................................................47
3.2
VAR
approach
.........................................................................................48
3.3
Asset Pricing Tests
..................................................................................49
3.4
Summary
..................................................................................................63
4
Data
.....................................................................................................................65
4.1
State Variables of Interest
.......................................................................65
4.2
Test Assets
...............................................................................................70
5
Empirical Analysis
.............................................................................................73
5.1
Derivation of an Alternative ICAPM
......................................................73
5.2
Testing the Alternative ICAPM
...............................................................89
5.3
Further Investigations
............................................................................110
6
Conclusion
........................................................................................................149
Appendix
......................................................................................................................151
References
....................................................................................................................153
|
| any_adam_object | 1 |
| author | Michel, Gaston |
| author_facet | Michel, Gaston |
| author_role | aut |
| author_sort | Michel, Gaston |
| author_variant | g m gm |
| building | Verbundindex |
| bvnumber | BV035579053 |
| classification_rvk | QK 620 QT 384 |
| ctrlnum | (OCoLC)429667688 (DE-599)DNB993786871 |
| dewey-full | 332.63222 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63222 |
| dewey-search | 332.63222 |
| dewey-sort | 3332.63222 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| id | DE-604.BV035579053 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:38:16Z |
| institution | BVB |
| isbn | 9783834917690 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017634493 |
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| physical | XX, 167 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Gabler |
| record_format | marc |
| series | EBS-Forschung |
| series2 | EBS-Forschung Gabler Edition Wissenschaft |
| spellingShingle | Michel, Gaston Real estate risk in equity returns empirical evidence from U.S. stock markets EBS-Forschung Aktienmarkt stw Börsenkurs stw Capital Asset Pricing Model stw Immobilien stw Immobilienfonds stw Immobilienmarkt - Capital-Asset-Pricing-Modell - Arbitrage-Pricing-Theorie Kapitalertrag stw Risiko stw Schätzung stw Theorie stw USA stw Wertpapieranalyse stw Immobilienmarkt (DE-588)4123416-9 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4123416-9 (DE-588)4112584-8 (DE-588)4121078-5 (DE-588)4113937-9 |
| title | Real estate risk in equity returns empirical evidence from U.S. stock markets |
| title_auth | Real estate risk in equity returns empirical evidence from U.S. stock markets |
| title_exact_search | Real estate risk in equity returns empirical evidence from U.S. stock markets |
| title_full | Real estate risk in equity returns empirical evidence from U.S. stock markets Gaston Michel |
| title_fullStr | Real estate risk in equity returns empirical evidence from U.S. stock markets Gaston Michel |
| title_full_unstemmed | Real estate risk in equity returns empirical evidence from U.S. stock markets Gaston Michel |
| title_short | Real estate risk in equity returns |
| title_sort | real estate risk in equity returns empirical evidence from u s stock markets |
| title_sub | empirical evidence from U.S. stock markets |
| topic | Aktienmarkt stw Börsenkurs stw Capital Asset Pricing Model stw Immobilien stw Immobilienfonds stw Immobilienmarkt - Capital-Asset-Pricing-Modell - Arbitrage-Pricing-Theorie Kapitalertrag stw Risiko stw Schätzung stw Theorie stw USA stw Wertpapieranalyse stw Immobilienmarkt (DE-588)4123416-9 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Aktienmarkt Börsenkurs Capital Asset Pricing Model Immobilien Immobilienfonds Immobilienmarkt - Capital-Asset-Pricing-Modell - Arbitrage-Pricing-Theorie Kapitalertrag Risiko Schätzung Theorie USA Wertpapieranalyse Immobilienmarkt Arbitrage-Pricing-Theorie Capital-Asset-Pricing-Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017634493&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV010702141 |
| work_keys_str_mv | AT michelgaston realestateriskinequityreturnsempiricalevidencefromusstockmarkets |