Asset pricing in european real estate capital markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2012
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IV, 154 S. graph. Darst. |
Staff View
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Record in the Search Index
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|---|---|
| adam_text | TABLE OF CONTENTS
1 INTRODUCTION 1
1.1 GENERAL MOTIVATION 1
1.2 RESEARCH QUESTIONS S
1.3 COURSE OF ANALYSIS 7
1.4 REFERENCES 8
2 SYSTEMATIC RISK FACTORS IN EUROPEAN REAL ESTATE EQUITIES .... 11
2.1 INTRODUCTION 12
2.2 LITERATURE REVIEW 15
2.2.1 REAL ESTATE ASSET PRICING 15
2.2.2 ASSET PRICING IN EUROPEAN CAPITAL
MARKETS 17
2.3 DATA & DESCRI PTIVE
STATISTICS 19
2.4 METHODOLOGY AND RESEARCH
DESIGN 24
2.4.1 TIME-SERIES REGRESSIONS 25
2.4.2 CROSS-SECTION REGRESSIONS 26
2.5 RESULTS 29
2.5.1 TIME-SERIES REGRESSIONS 29
2.5.2 CROSS-SECTION
REGRESSIONS 36
2.6 ROBUSTNESS OF EMPIRICAL RESULTS 39
2.6.1 COUNTRY EFFECTS 40
2.6.2 CURRENCY EFFECTS 45
2.6.3 WEIGHTING EFFECTS 48
2.7 CONCLUSION - 48
2.8 APPENDIX 52
2.9
R
EFERENCES 55
3 COSKEWNESS IN EUROPEAN REAL ESTATE EQUITY RETURNS 61
3.1 INTRODUCTION 62
3.2 LITERATURE REVIEW 65
3.2.1 THE ROLE OF COSKEWNESS AND HIGHER-ORDER COMOMENTS IN THE PRICING
OF
RISKY ASSETS 65
3.2.2 HIGHER-MOMENTS IN REAL ESTATE RETURNS 68
3.3 DATA & DESCRIPTIVE STATISTICS 69
II
HTTP://D-NB.INFO/1024219682
TABLE OF CONTENTS
3.4 METHODOLOGY AND RESEARCH DESIGN 74
3.4.1
THEORETICAL FRAMEWORK
74
3.4.2 METHODOLOGY 76
3.4.3 TIME-SERIES REGRESSIONS 78
3.4.4 CROSS-SECTION REGRESSIONS 79
3.5 CROSS-SECTION REGRESSION RESULTS 81
3.5.1
T
HE PRICING OF COSKEWNESS RISK IN
E
UROPEAN
REAL ESTATE EQUITIES 84
3.5.2 IS
THERE A RELATION BETWEEN SIZE, MOMENTUM AND COSKEWNESS?
88
3.6 ROBUSTNESS OF EMPIRICAL RESULTS 95
3.7 CONCLUSION 102
3.8 REFERENCES 104
4 IDIOSYNCRATIC RISK AND THE CROSS-SECTION OF EUROPEAN REAL
ESTATE EQUITY RETURNS 108
4.1 INTRODUCTION 109
4.2 LITERATURE REVIEW 112
4.2.1 GENERAL EQUITY STUDIES 112
4.2.2 REAL ESTATE EQUITY STUDIES 117
4J METHODOLOGY 119
4.3.1 FRAMEWORK 119
4.3.2 ESTIMATION OF IDIOSYNCRATIC VOLATILITY 121
4.4 DATA & DESCRIPTIVE STATISTICS 124
4.5 TRENDS IN IDIOSYNCRATIC VOLATILITIES 130
4.6 CROSS-SECTIONAL EVIDENCE 133
4.7 ROBUSTNESS CHECKS 138
4.7.1 SUB-PERIOD ANALYSIS 138
4.7.2 CURRENCY EFFECTS 139
4.7.3 WEIGHTING EFFECTS 140
4.7.4 COUNTRY EFFECTS 140
4.7.5 PROXIES OF EXPECTED IDIOSYNCRATIC VOLATILITY 141
4.8 CONCLUSION 142
4.9 REFERENCES 144
111
TABLE OF CONTENTS
5 CONCLUSION 149
5.1 EXECUTIVE SUMMARY 149
5.2 FINAL REMARKS AND FURTHER
RESEARCH IS2
IV
|
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| discipline | Wirtschaftswissenschaften |
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| spelling | Schulte, Kai-Magnus Verfasser aut Asset pricing in european real estate capital markets vorgelegt von: Kai-Magnus Schulte 2012 IV, 154 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Regensburg, Univ., Diss., 2012 Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Wertpapier (DE-588)4065674-3 gnd rswk-swf Risikofaktor (DE-588)4050131-0 gnd rswk-swf Immobilienmarkt (DE-588)4123416-9 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Börsenkurs (DE-588)4375974-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Immobilienfonds auf Aktien (DE-588)4250771-6 gnd rswk-swf Europa (DE-588)4015701-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Immobilienmarkt (DE-588)4123416-9 s Kapitalanlage (DE-588)4073213-7 s Wertpapier (DE-588)4065674-3 s Bewertung (DE-588)4006340-9 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Risikofaktor (DE-588)4050131-0 s DE-604 Europa (DE-588)4015701-5 g Immobilienfonds auf Aktien (DE-588)4250771-6 s Börsenkurs (DE-588)4375974-9 s Kapitalmarkttheorie (DE-588)4137411-3 s 1\p DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024987497&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Schulte, Kai-Magnus Asset pricing in european real estate capital markets Kapitalanlage (DE-588)4073213-7 gnd Wertpapier (DE-588)4065674-3 gnd Risikofaktor (DE-588)4050131-0 gnd Immobilienmarkt (DE-588)4123416-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Börsenkurs (DE-588)4375974-9 gnd Bewertung (DE-588)4006340-9 gnd Immobilienfonds auf Aktien (DE-588)4250771-6 gnd |
| subject_GND | (DE-588)4073213-7 (DE-588)4065674-3 (DE-588)4050131-0 (DE-588)4123416-9 (DE-588)4121078-5 (DE-588)4137411-3 (DE-588)4375974-9 (DE-588)4006340-9 (DE-588)4250771-6 (DE-588)4015701-5 (DE-588)4113937-9 |
| title | Asset pricing in european real estate capital markets |
| title_auth | Asset pricing in european real estate capital markets |
| title_exact_search | Asset pricing in european real estate capital markets |
| title_full | Asset pricing in european real estate capital markets vorgelegt von: Kai-Magnus Schulte |
| title_fullStr | Asset pricing in european real estate capital markets vorgelegt von: Kai-Magnus Schulte |
| title_full_unstemmed | Asset pricing in european real estate capital markets vorgelegt von: Kai-Magnus Schulte |
| title_short | Asset pricing in european real estate capital markets |
| title_sort | asset pricing in european real estate capital markets |
| topic | Kapitalanlage (DE-588)4073213-7 gnd Wertpapier (DE-588)4065674-3 gnd Risikofaktor (DE-588)4050131-0 gnd Immobilienmarkt (DE-588)4123416-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Börsenkurs (DE-588)4375974-9 gnd Bewertung (DE-588)4006340-9 gnd Immobilienfonds auf Aktien (DE-588)4250771-6 gnd |
| topic_facet | Kapitalanlage Wertpapier Risikofaktor Immobilienmarkt Capital-Asset-Pricing-Modell Kapitalmarkttheorie Börsenkurs Bewertung Immobilienfonds auf Aktien Europa Hochschulschrift |
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