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The Variation of Economic Risk Premiums in Real Estate Returns (1997)
| Venue: | Journal of Real Estate Finance and Economics |
| Citations: | 46 - 1 self |
BibTeX
@ARTICLE{Karolyi97thevariation,
author = {G. Andrew Karolyi and Anthony B. Sanders and Anthony B. S},
title = {The Variation of Economic Risk Premiums in Real Estate Returns},
journal = {Journal of Real Estate Finance and Economics},
year = {1997},
volume = {17},
pages = {245--262}
}
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Abstract
We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the predictability of returns is associated with the economic variables employed in the asset pricing model. The stock market risk premium is highly important in capturing the predictable variation in stock portfolios, the bond market risk premiums (term and risk structure of interest rates) are important in capturing the predictable variation in bond portfolios. For REITs, however, both the stock and bond market risk premiums capture the predictable variation in returns. REITs have comparable return predictability to stock portfolios. We conclude that there is an important economic risk premium for REITs that are not captured by traditional multiple-beta asset pricing models. Version: April 1997. Comments wel...
Keyphrases
predictable variation real estate return economic risk premium bond market risk premium stock portfolio predictable component traditional multiple-beta asset pricing model asset pricing model interest rate important economic risk premium bond portfolio risk structure real estate investment trust economic variable comparable return predictability multiple-beta asset pricing model stock market risk premium
