Benoît Carmichael publiera dans la revue International Review of Finance
23 avril 2018
Benoît Carmichael, professeur au Département d’économique, publiera dans la revue International Review of Finance un article intitulé « Securitized and Direct Real Estate Factors in the Pricing of US Bank Stocks». Cet article est coécrit avec Alain Coën, professeur à l’ESG UQÀM.
Ci-dessous un résumé de l’article :
This article analyzes the role of securitized and direct real estate risks in the pricing of US bank stocks. Real estate risk measures are drawn from the National Association of Real Estate Investment Trusts (NAREIT) and NCREIF indexes. Beside the real estate, the other risk exposures considered are the market, the term, and the default premiums. The period covered runs from February 1990 to December 2015. GMM estimates of conditional multifactor models report considerable evidence in favor of real estate risk in US bank stocks.
Pour en apprendre davantage: http://dx.doi.org/10.1111/irfi.12194