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A much robust and updated evidences of the alternative real-estate based asset pricing

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  • Shi, Qi

Abstract

To response Harvey, Liu and Zhu’s and Gospodinov, Kan and Robotti’s criticism for an empirical study, we develop an alternative real-estate based model in asset pricing for an updated robustness. We make an innovation for the perspective of practitioners: the real-estate pricing factor is an alternative excess return of real estate portfolio. The results suggest that an updated and much robust role of the real-estate based asset pricing model: for example, the t-statistic of the real-estate pricing factor is higher than 3.00, suggesting that one is not derived from a data mining strategy. Moreover, we examine the performance of our alternative real-estate based model in a series of various portfolios (sorted in some vital anomalies); eventually, the results statistically support the real-estate based model.

Suggested Citation

  • Shi, Qi, 2020. "A much robust and updated evidences of the alternative real-estate based asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978
    DOI: 10.1016/j.najef.2018.10.013
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    Cited by:

    1. Naga Pillada & Sangeetha Rangasamy, 2023. "An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC–GARCH model," SN Business & Economics, Springer, vol. 3(2), pages 1-16, February.

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    More about this item

    Keywords

    Criticism; Alternative real-estate based model; Asset pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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