Description
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or the Fama-French model in pricing equity returns. :Dr. Gaston Michel promovierte am Stiftungslehrstuhl fr Asset Management bei Prof. Dr. Lutz Johanning. Fundamentals of Asset Pricing Theory, Cross Section of Equity Returns, Real Estate Risk as a Priced Factor, Estimation Methodology: ICAPM Framework, VAR Approach, Traditional Beta Method, Stochastic Discount Factor Method, Data: State Variables of Interest, Test Assets, Empirical Analysis
