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Book Categories |
List of Contributors | ||
1 | Introduction: Real Estate Analysis in a Dynamic Risk Environment | 1 |
2 | The Predictability of Returns on Equity REITs and their Co-movement with Other Assets | 21 |
App | Elaboration of the Estimation Procedure | 43 |
3 | The Predictability of Real Estate Returns and Market Timing | 47 |
App | Elaboration of the Asset Pricing Framework and Estimation Procedure | 71 |
4 | A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan | 77 |
App | The Dividend-ratio Model | 96 |
5 | Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market | 101 |
6 | Bank Risk and Real Estate: An Asset Pricing Perspective | 119 |
Appendix | 140 | |
7 | Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment | 155 |
8 | The Time-variation of Risk for Life Insurance Companies | 171 |
9 | The Return Distributions of Property Shares in Emerging Markets | 195 |
10 | Conditional Risk Premiums of Asian Real Estate Stocks | 217 |
11 | Institutional Factors and Real Estate Returns: A Cross-Country Study | 238 |
Index | 253 |
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