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

Material type: 文書・図像類

Author: Chang, Kuang-Liangほか

Publisher: The Institute of Social and Economic Research, Osaka University

Publication date: 2021-03

Material Format: Paper

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Note (General)：: The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjustedperformance of different asset markets. While the empirical...

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Paper

Material Type: 文書・図像類
Title: How did the Asset Markets Change after the Global Financial Crisis?
Author/Editor: Chang, Kuang-Liang
Leung, Charles Ka Yui
Author Heading: Chang, Kuang-Liang
Leung, Charles Ka Yui
Publication, Distribution, etc.: The Institute of Social and Economic Research, Osaka University
Publication Date: 2021-03
Publication Date (W3CDTF): 2021-03
Periodical title: Institute of Social and Economic Research Discussion Papers
No. or year of volume/issue: 1124
Volume: 1124
ISSN (Periodical Title): PISSN : 0473453X
EISSN : 24350982
Text Language Code: eng
Subject Heading: economic index of riskiness
risk-adjusted-performance index
real estate markets
stock markets
Target Audience: 一般
Note (General): 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.
References (URI): URI
https://www.iser.osaka-u.ac.jp/library/dp/2021/DP1124.pdf
Data Provider (Database): 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
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華