Securitized and Direct Real Estate Factors in the Pricing of US Bank Stocks

Benoît Carmichael and Alain Coën

International Review of Finance, 2019, vol. 19, issue 4, 893-907

Abstract: This article analyzes the role of securitized and direct real estate risks in the pricing of US bank stocks. Real estate risk measures are drawn from the National Association of Real Estate Investment Trusts (NAREIT) and NCREIF indexes. Beside the real estate, the other risk exposures considered are the market, the term, and the default premiums. The period covered runs from February 1990 to December 2015. GMM estimates of conditional multifactor models report considerable evidence in favor of real estate risk in US bank stocks.

Date: 2019
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