Arbeitspapier
How did the asset markets change after the Global Financial Crisis?
The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market counterparts moved to the left and became more spread out. The economic risk of the OFHEO and Case-Shiller housing indices was smaller than the counterpart of the equity REIT (EREITs) market before the financial crisis, it substantially increased. Also, the economic performance of the OFHEO and Case-Shiller housing indices decreased after the financial crisis. They are below the performance indices of the stock and EREITs markets. The ex-post real estate premium vanishes. If we presume the "best model" to be the same before and after the GFC, we could severely misestimate the risk after the GFC.
- Language
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Englisch
- Bibliographic citation
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Series: ISER Discussion Paper ; No. 1124
- Classification
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Wirtschaft
Econometric Modeling: General
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Real Estate Markets, Spatial Production Analysis, and Firm Location: General
- Subject
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economic index of riskiness
risk-adjusted-performance index
real estate markets
stock markets
- Event
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Geistige Schöpfung
- (who)
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Chang, Kuang-Liang
Leung, Charles Ka Yui
- Event
-
Veröffentlichung
- (who)
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Osaka University, Institute of Social and Economic Research (ISER)
- (where)
-
Osaka
- (when)
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2021
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chang, Kuang-Liang
- Leung, Charles Ka Yui
- Osaka University, Institute of Social and Economic Research (ISER)
Time of origin
- 2021
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