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作者

来源

REAL ESTATE ECONOMICS,Vol.46,Issue4,P.936-970

语言

英文

关键字

EXPECTED STOCK RETURNS; CORPORATION FINANCE; GENERALIZED-METHOD; SAMPLE PROPERTIES; INVESTMENT; PORTFOLIO; PREMIUMS; DYNAMICS; MOMENTS

作者单位

[Carmichael, Benoit] Univ Laval, Dept Econ, 1025 Ave Sci Humaines, Quebec City, PQ G1V 0A6, Canada. [Coen, Alain] Univ Quebec Montreal, ESC, Dept Finance, Montreal, PQ H3C 4R2, Canada. [Coen, Alain] Univ Quebec Montreal, Ivanhoe Cambridge Real Estate Chair, Montreal, PQ H3C 4R2, Canada. Carmichael, B (reprint author), Univ Laval, Dept Econ, 1025 Ave Sci Humaines, Quebec City, PQ G1V 0A6, Canada. E-Mail: benoit.carmichael@ecn.ulaval.ca; coen.alain@uqam.ca

摘要

Using a linear multifactor pricing model, we study the influence of equity market, the consumption growth and the return on real estate wealth on asset returns. The real estate risk factor is proxied alternatively by the National Association of Real Estate Investment Trusts (NAREIT) index, unlevered NAREIT index and National Council of Real Estate Investment Fiduciaries property index. Estimates are based on CRSP's monthly decile portfolio returns from January 1972 to December 2013 (including the Vintage REIT era and the New REIT era). Generalized method of moment results show that the real estate factor is particularly useful to explain the cross-sectional variation of returns in the last two decades generally associated with the so-called real estate bubble.