dc.contributor.author | Bianchi, Daniele | |
dc.contributor.author | Guidolin, Massimo | |
dc.contributor.author | Ravazzolo, Francesco | |
dc.date.accessioned | 2018-05-02T10:48:41Z | |
dc.date.available | 2018-05-02T10:48:41Z | |
dc.date.issued | 2013 | |
dc.identifier.isbn | 978-82-7553-776-6 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2496683 | |
dc.description.abstract | We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate the key differences in the pricing mechanism that applies to residential vs. non-residential (such as office space, industrial buildings, retail property) real estate investment trusts (REITs). Under the assumption that the subprime crisis has had its epicentre in the housing/residential sector, we interpret any differential dynamics as indicative of the propagation mechanism of the crisis towards business-oriented segments of the US real estate market. We find important differences in the structure as well as the dynamic evolution of risk factor exposures across residential vs. non-residential REITs. An analysis of cross-sectional mispricings reveals that only retail, residential, and mortgage-specialized REITs were over-priced over the initial part of our sample, i.e., 1999-2006. Moreover, residential-driven real estate has structural properties that make it different from non-residential assets. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;22/2013 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: G11 | nb_NO |
dc.subject | JEL: C53 | nb_NO |
dc.subject | multi-factor models | nb_NO |
dc.subject | real estate | nb_NO |
dc.subject | mispricing | nb_NO |
dc.subject | real estate investment trusts | nb_NO |
dc.title | Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 54 | nb_NO |