Asset Pricing [Vol. 1] 9810245637, 9789810245634, 9789812795618

Table of contents :
List of Contributors......Page 6
Contents......Page 8
1 Introduction: Real Estate Analysis in a Dynamic Risk Environment......Page 10
1.1 Time-varying Risk Premium of Real Estate......Page 12
1.2 Short-term Price Behavior in Real Estate Securities Market......Page 18
1.3 How Real Estate Market Affects Financial Institutions......Page 19
1.4 Analysis of Emerging Real Estate Market......Page 25
References......Page 28
2.1 Introduction......Page 30
2.2 The Asset Pricing Framework......Page 34
2.3 The Estimation Procedure......Page 36
2.4 Data......Page 38
2.5 Empirical Results......Page 40
2.6 Summary and Conclusions......Page 51
Appendix: Elaboration of the Estimation Procedure......Page 52
References......Page 53
3.1 Introduction......Page 56
3.2 Method for Predicting Asset Returns......Page 59
3.3 Data......Page 61
3.4 Empirical Results......Page 63
3.5 Summary and Conclusions......Page 78
Appendix: Elaboration of the Asset Pricing Framework and Estimation Procedure......Page 80
References......Page 82
4 A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan......Page 86
4.1 Introduction......Page 87
4.2 The Basic Framework and Estimation Process......Page 90
4.3 The Data......Page 94
4.4 Empirical Results......Page 95
4.5 Summary and Conclusions......Page 104
Appendix: The Dividend-ratio Model......Page 105
References......Page 106
5.1 Introduction......Page 110
5.2 Empirical Methods......Page 111
5.3 Data Estimation and Problems......Page 115
5.4 Empirical Result and Its Implications......Page 119
5.5 Conclusions......Page 124
References......Page 125
6 Bank Risk and Real Estate: An Asset Pricing Perspective......Page 128
6.1 Introduction......Page 129
6.2 The Asset Pricing Framework......Page 130
6.3 The Estimation Procedure......Page 133
6.4 Data......Page 135
6.5 Empirical Results......Page 137
6.6 Summary and Conclusions......Page 148
Appendix......Page 149
References......Page 161
7.1 Research Background and Objective......Page 164
7.2 Description of Methodology......Page 166
7.3 Data......Page 167
7.4 Empirical Results......Page 168
7.5 Summary and Conclusions......Page 177
References......Page 178
8 The Time-variation of Risk for Life Insurance Companies......Page 180
8.1 Introduction......Page 181
8.2 The Asset Pricing Framework......Page 182
8.3 Data......Page 187
8.4 Empirical Results......Page 188
8.5 Test of Asset Pricing Models......Page 194
8.6 Summary and Conclusions......Page 199
Appendix A......Page 200
References......Page 202
9 The Return Distributions of Property Shares in Emerging Markets......Page 204
9.1 Data Source......Page 205
9.2 Return and Risk......Page 207
9.3 Normality Skewness and Kurtosis......Page 210
9.4 Predictability......Page 219
9.5 Portfolio Diversification......Page 223
References......Page 225
10.1 Introduction......Page 226
10.2 The Asset Pricing Framework......Page 227
10.3 The Single-Country Model......Page 230
10.4 The Multi-Country Model......Page 242
References......Page 245
11 Institutional Factors and Real Estate Returns: A Cross-Country Study......Page 247
11.1 Introduction......Page 248
11.2 The Data......Page 250
11.3 Methodology......Page 251
11.4 Empirical Results......Page 252
References......Page 259
Index......Page 262