Asset pricing [[electronic resource] /] / editors: Jianping Mei, Hsien-hsing Liao

• Record Nr.: UNINA9910454341103321
• Pubbl/distr/stampa: New Jersey, : World Scientific, c2003
• ISBN: 1-281-93596-4; 9786611935962; 981-279-561-8
• Descrizione fisica: 1 online resource (265 p.)
• Collana: Frontiers of real estate finance ; ; vol. 1
• Altri autori (Persone): MeiJianping; LiaoHsien-hsing
• Disciplina: 332.63/24
• Soggetti: Capital assets pricing model; Securities; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Contents; List of Contributors; 1 Introduction: Real Estate Analysis in a Dynamic Risk Environment; 1.1 Time-varying Risk Premium of Real Estate; 1.2 Short-term Price Behavior in Real Estate Securities Market; 1.3 How Real Estate Market Affects Financial Institutions; 1.4 Analysis of Emerging Real Estate Market 1.5 Summary; References; 2 The Predictability of Returns on Equity REIT's and their Co-movement with Other Assets; 2.1 Introduction; 2.2 The Asset Pricing Framework; 2.3 The Estimation Procedure; 2.4 Data; 2.5 Empirical Results; 2.6 Summary and Conclusions Acknowledgements; Appendix: Elaboration of the Estimation Procedure; References; 3 The Predictability of Real Estate Returns and Market Timing; 3.1 Introduction; 3.2 Method for Predicting Asset Returns; 3.3 Data; 3.4 Empirical Results; 3.5 Summary and Conclusions Acknowledgements; Appendix: Elaboration of the Asset Pricing Framework and Estimation Procedure; References; 4 A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan; 4.1 Introduction; 4.2 The Basic Framework and Estimation Process 4.3 The Data; 4.4 ; Empirical Results; 4.5 Summary and Conclusions; Appendix: The Dividend-ratio Model; References; 5 Price Reversal Transaction Costs and Arbitrage Profits in Real Estate Securities Market ** ; 5.1 Introduction; 5.2 Empirical Methods
• Sommario/riassunto: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US4 trillion, and the REITs market about US 200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: