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Paper eres2011_140:
Systematic Risk Factors in European Real Estate Equity Returns

id eres2011_140
authors Schulte, Kai; Dechant, Tobias
year 2011
title Systematic Risk Factors in European Real Estate Equity Returns
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary The study provides insight into the pricing of publicly traded European real estate equities. The Fama-French three-factor model, as well as unconditional and conditional Fama-MacBeth regressions are applied to a sample of 275 real estate equities from 16 European countries over the period 1988 to 2009. The results show that within the real estate equity market, a significant value effect exists, while no small-size effect is present. Real estate equity returns vary significantly with the excess market return and a pan-European value factor. Moreover, returns are driven by a systematic size factor, although this effect is not as pronounced. The findings further indicate a better integration of the European real estate equity market with the general equity market from 1999 onwards. Consistent with other asset pricing studies, no factor risk loading proves to be consistently priced in unconditional asset pricing tests. However, the study reveals the explanatory power of systematic risk factors, especially beta, when conditioned on both general and real estate market states. The results moreover indicate differences in the pricing of real estate equities between Europe and the US.
keywords conditional asset pricing, real estate, paneuropean, famafrench, famamacbeth
series ERES:conference
discussion No discussions. Post discussion ...
session B3: Real Estate Education (II)
last changed 2011/06/23 16:27
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