How Did the Asset Markets Change after the Global Financial Crisis?
نویسندگان
چکیده
The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While empirical distribution for stock return shifted to right became more concentrated around mean after GFC, real estate market counterparts moved left spread out. risk OFHEO Case-Shiller housing indices was smaller than counterpart equity REIT (EREITs) before financial crisis, it substantially increased. Also, performance decreased crisis. They are below EREITs ex-post premium vanishes. If we presume best model be same could severely misestimate GFC.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3807020