Asset pricing /
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| Imprint: | New Jersey : World Scientific, c2003. |
|---|---|
| Description: | viii, 255 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Frontiers of real estate finance ; vol. 1 |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5127303 |
Table of Contents:
- 1. Introduction: Real Estate Analysis in a Dynamic Risk Environment
- 2. The Predictability of Returns on Equity REITs and their Co-movement with Other Assets
- App. Elaboration of the Estimation Procedure
- 3. The Predictability of Real Estate Returns and Market Timing
- App. Elaboration of the Asset Pricing Framework and Estimation Procedure
- 4. A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan
- App. The Dividend-ratio Model
- 5. Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market
- 6. Bank Risk and Real Estate: An Asset Pricing Perspective
- Appendix
- 7. Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment
- 8. The Time-variation of Risk for Life Insurance Companies
- 9. The Return Distributions of Property Shares in Emerging Markets
- 10. Conditional Risk Premiums of Asian Real Estate Stocks
- 11. Institutional Factors and Real Estate Returns: A Cross-Country Study.
