How did the Asset Markets Change after the Global Financial Crisis?

• 資料種別: 文書・図像類
• タイトル: How did the Asset Markets Change after the Global Financial Crisis?
• 著者・編者: Chang, Kuang-Liang; Leung, Charles Ka Yui
• 著者標目: Chang, Kuang-Liang; Leung, Charles Ka Yui
• 出版事項: The Institute of Social and Economic Research, Osaka University
• 出版年月日等: 2021-03
• 出版年（W3CDTF）: 2021-03
• タイトル（掲載誌）: Institute of Social and Economic Research Discussion Papers
• 巻号年月日等（掲載誌）: 1124
• 掲載巻: 1124
• ISSN（掲載誌）: PISSN : 0473453X; EISSN : 24350982
• 本文の言語コード: eng
• 件名標目: economic index of riskiness; risk-adjusted-performance index; real estate markets; stock markets
• 対象利用者: 一般
• 一般注記: The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjustedperformance 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.
• 参照（URI）: URI; https://www.iser.osaka-u.ac.jp/library/dp/2021/DP1124.pdf
• 連携機関・データベース: 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 大阪大学 : 大阪大学学術情報庫 桜華