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

De Santis, Paola and Drago, Carlo (2014): Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche.

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.

• Item Type: MPRA Paper
• English Title: Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence
• Language: Italian
• Keywords: Subprime Crisis, Beta, Structural Breaks, Garch Model, Asymmetric Reit Beta Puzzle, Fama and French Factor Model
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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