Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche

Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence

Paola De Santis and Carlo Drago

MPRA Paper from University Library of Munich, Germany

Abstract: In this work we have found a relevant increase in the systematic risk of the American real estate securities in the year 2007 which go to the initial values in the year 2009. With the aim to evaluate the systematic risk we have used the Fama-French three factor model and we have studied the relationship between the extra-return of the REIT index where we have used as proxy the American real estate securities and the extra return of the S&P500 index representative by the market portfolio return. The results confirmed the presence of an “Asymmetric Beta Puzzle” in agreement with other previous studies. At the same time the results have shown that the REIT securities behaved as speculative securities. In the past the same securities were considered conservative in the year of the subprime crisis. The REIT securities in particular have amplified arriving to double the variations of the market risk premium.

Keywords: Subprime Crisis; Beta; Structural Breaks; Garch Model; Asymmetric Reit Beta Puzzle; Fama and French Factor Model (search for similar items in EconPapers)
JEL-codes: C32 C51 G10 G32 (search for similar items in EconPapers)
Date: 2014-10-22
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