The Variation of Economic Risk Premiums in Real Estate Returns

Journal of Real Estate Finance and Economics

Volumn 17, Issue 3, 1998, Pages 245-262

  Karolyi, G Andrew ^a   Sanders, Anthony B ^a  

^a OHIO STATE UNIVERSITY   (United States)

Author keywords

Multiple beta asset pricing model; Predictability; REITs; Time varying risk premiums

Indexed keywords

EID: 0032329268     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007776907309     Document Type: Article

References (18)

1. Buser, Stephen A., G. Andrew Karolyi, and Anthony B. Sanders. (1996). "Adjusted Forward Rates as Predictors of Futures Spot Rates," Journal of Fixed Income 6, 29-42.
2. Campbell, John. (1987). "Stock Returns and the Term Structure," Journal of Financial Economics 18, 373-399.
3. Chan, K.C., Nai-fu Chen, and David Hsieh. (1985). "An Exploratory Investigation of the Firm Size Effect," Journal of Financial Economics 14, 451-471.
4. Chan, K.C., Patrie Hendershott, and Anthony B. Sanders. (1990). "Risk and Return on Real Estate: Evidence from Equity REITs," AREUEA Journal 18, 431-452.
5. Chen, Nai-fu, Richard Roll, and Stephen Ross. (1986). "Economic Forces and the Stock Market," Journal of Business 59, 383-403.
6. Cox, John, Jonathan Ingersoll, and Stephen Ross. (1985). "A Theory of the Term Structure of Interest Rates," Econometrica 53, 385-407.
7. Davidian, Marie and R. J. Carroll. (1987). "Variance Function Estimation," Journal of American Statistical Association 82, 1079-1091.
8. Fama, E., and K. French. (1988). "Dividend Yields and Expected Stock Returns," Journal of Finance Economics 22, 3-25.
9. Fama, E., and K. French. (1989). "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Finance Economics 25, 23-49.
10. Fama, E., and J. MacBeth. (1973). "Risk, Return and Equilibrium: Empirical Tests," Journal of Political Economy 81, 607-636.
11. Ferson, Wayne E., and Campbell R. Harvey. (1991). "The Variation of Economic Risk Premiums," Journal of Political Economy 99, 385-415.
12. Gibbons, Michael R., and Wayne E. Ferson. (1985). "Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio," Journal of Finance Economics 14, 217-236.
13. Keim, Donald, and Robert Stambaugh. (1986). "Predicting Returns in the Stock and Bond Markets," Journal of Financial Economics 17, 357-390.
14. Khoo, Terrence, David Hartzell, and Martin Hoesli. (1993). "An Investigation of the Change in Real Estate Investment Trust Betas," AREUEA Journal 21, 107-130.
15. Ling, David, and Andrew Naranjo. (1996). "Economic Risk Factors and Commercial Real Estate Returns," Journal of Real Estate Finance and Economics 15, 255-272.
16. Liu, Crocker, and Jianping Mei. (1992). "The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets," Journal of Real Estate Finance and Economics 5, 401-418.
17. Merton, Robert C. (1973). "An Intertemporal Capital Asset Pricing Model," Econometrica 41, 867-887.
18. Titman, Sheridan, and Arthur Warga. (1986). "Risk and Performance of Real Estate Investment Trust: A Multiple Index Approach," AREUEA Journal 14, 414-431.