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Bank Risk and Real Estate: An Asset Pricing Perspective

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  • Mei, Jianping
  • Saunders, Anthony

Abstract

While a number of papers have investigated the time-series behavior of ex post bank stock returns and real estate returns, no study has comprehensively studied the relationship between ex ante risk premiums on both assets and the time-varying nature of such premiums in relationship to economic and real estate market conditions. In this study, we investigate how the changing nature of bank risk taking, especially in the real estate market, has affected the ex ante pricing of risk in the market for bank stocks. We find that the time variation in bank risk premiums are partly determined by interest rate and real estate market conditions. We also discover that the real estate factor has been important for banks in the 1980s. Copyright 1995 by Kluwer Academic Publishers

Suggested Citation

  • Mei, Jianping & Saunders, Anthony, 1995. "Bank Risk and Real Estate: An Asset Pricing Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 199-224, May.
  • Handle: RePEc:kap:jrefec:v:10:y:1995:i:3:p:199-224
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    Cited by:

    1. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
    2. António Miguel Martins & Ana Paula Serra & Francisco Vitorino Martins, 2016. "Real estate market risk in bank stock returns: evidence for 15 European countries," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 20(2), pages 142-155, June.
    3. Elie Bouri & Mahamitra Das & Rangan Gupta & David Roubaud, 2018. "Spillovers between Bitcoin and other Assets during Bear and Bull Markets," Working Papers 201812, University of Pretoria, Department of Economics.
    4. Carsten Lausberg, 2001. "Evidence of its Importance and Instruments to Handle it. The Real Estate Market Risk of Banks," ERES eres2001_205, European Real Estate Society (ERES).
    5. Chiuling Lu & Raymond So, 2005. "Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 189-206, September.
    6. Bessler, Wolfgang & Kurmann, Philipp & Nohel, Tom, 2015. "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 45-68.

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