Download Asset Pricing by Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao PDF

By Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao

Genuine property finance is a fast-developing sector the place best caliber learn is in nice call for. within the US, the genuine property marketplace is worthy approximately US$4 trillion, and the REITs industry approximately US$200 billion; tens of millions of actual property execs are operating in this zone. The industry abroad might be significantly better, specially in Asia.

Given the speedily becoming genuine property securities undefined, this publication fills a tremendous hole in present actual property study and educating. it really is a fantastic reference for funding pros as good as senior MBA and PhD scholars.

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In other words, EREITs have a higher mean excess return on an average but smaller total risks (as measured by standard deviation) relative to all other assets, which is consistent with prior research. In addition, the returns on all assets exhibit positive first-order autocorrelation. This is also consistent with prior studies, which show that the excess return on stock indices display short-run positive autocorrelation. Table 1 also reports the correlations of returns among four asset classes.

The conditional expected excess return is allowed to vary through time in the current model, but the beta coefficients are assumed to be constant through time. This ability of Et[fi^+\\ to vary through time is absent in prior REIT studies. 4 However, if Et[ritt+i] is not restricted to be constant, then we need to look not only at the closeness of beta(s) but also at the co-movement of Et[fitt+i] through time in analyzing the comovement of excess returns on two or more assets. In other words, it is possible for the risk premiums and excess returns of two assets to not move together, even though they have similar betas.

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