Benoît Carmichaël, professeur au département et Alain Coën publient un article dans Real Estate Economics

12 Novembre 2018

Le professeur Benoît Carmichaël, et Alain Coën, professeur au département de finance de l'UQÀM publient dans Real Estate Economics un article intitulé : "Real Estate and Consumption Growth as Common Risk Factors in Asset Pricing Models".

Ci-dessous, un résumé de l'article.


Using a linear multifactor pricing model, we study the influence of equity market, the consumption growth and the return on real estate wealth on asset returns. The real estate risk factor is proxied alternatively by the National Association of Real Estate Investment Trusts (NAREIT) index, unlevered NAREIT index and National Council of Real Estate Investment Fiduciaries property index. Estimates are based on CRSP's monthly decile portfolio returns from January 1972 to December 2013 (including the Vintage REIT era and the New REIT era). Generalized method of moment results show that the real estate factor is particularly useful to explain the cross‐sectional variation of returns in the last two decades generally associated with the so‐called real estate bubble.

(Carmichael, Benoît et Coën, Alain, Real Estate and Consumption Growth as Common Risk Factors in Asset Pricing Models, Real Estate Economics, volume 46, no 4, p. 936-970.)