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

Benoît Carmichael and Alain Coën

Finance Research Letters, 2020, vol. 32, issue C

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.

Keywords: Asset pricing; Real estate risk; Financial sector; Multifactor models; GMM (search for similar items in EconPapers)
JEL-codes: G12 G21 R3 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307980

DOI: 10.1016/j.frl.2019.04.029

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