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Real estate as a common risk factor in the financial sector: International evidence

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  • Carmichael, Benoît
  • Coën, Alain

Abstract

This article analyzes the role real estate risks in the pricing of Financial sector stocks for a sample of 14 countries. Real estate risk measures are drawn from the FTSE/EPRA NAREIT indexes. We also develop a specific US real estate risk premium. The period covered runs from February 2000 to December 2015. GMM estimates of parsimonious multifactor models reveal statistically significant domestic and US real estate risks in the financial sector.

Suggested Citation

  • Carmichael, Benoît & Coën, Alain, 2020. "Real estate as a common risk factor in the financial sector: International evidence," Finance Research Letters, Elsevier, vol. 32(C).
    • Handle: RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307980
    DOI: 10.1016/j.frl.2019.04.029
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    More about this item

    Keywords

    Asset pricing; Real estate risk; Financial sector; Multifactor models; GMM;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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