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Dissecting the 2007–2009 real estate market bust : systematic pricing correction or just a housing fad?
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Bianchi, Daniele, Guidolin, Massimo and Ravazzolo, Francesco (2017) Dissecting the 2007–2009 real estate market bust : systematic pricing correction or just a housing fad? Journal of Financial Econometrics, 16 (1). pp. 34-62. doi:10.1093/jjfinec/nbx023 ISSN 1479-8409.
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Official URL: http://dx.doi.org/10.1093/jjfinec/nbx023
Abstract
We use a flexible Bayesian model averaging method to estimate a factor pricing model characterized by structural uncertainty and instability in macro-financial factor loadings and idiosyncratic risks. We propose such a framework to investigate key differences in the pricing mechanism that applies to residential versus non-residential real estate investment trusts (REITs). An analysis of cross-sectional mispricings reveals no evidence of pure housing/residential real-estate abnormal returns inflating between 1999 and 2007, to subsequently collapse. In fact, all REITs sectors record increasing alphas during this period, and show important differences in the dynamic evolution of risk factors exposures.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Real estate investment trusts, Capital assets pricing model, Recessions -- United States, United States -- Economic conditions -- 2009-, Bayesian statistical decision theory | ||||||||
Journal or Publication Title: | Journal of Financial Econometrics | ||||||||
Publisher: | Oxford University Press | ||||||||
ISSN: | 1479-8409 | ||||||||
Official Date: | 1 December 2017 | ||||||||
Dates: |
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Volume: | 16 | ||||||||
Number: | 1 | ||||||||
Page Range: | pp. 34-62 | ||||||||
DOI: | 10.1093/jjfinec/nbx023 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 9 August 2017 | ||||||||
Date of first compliant Open Access: | 27 July 2019 |
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