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How did the asset markets change after the Global Financial Crisis?

In: Handbook of Real Estate and Macroeconomics

Author

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  • Kuang-Liang Chang
  • Charles Ka Yui Leung

Abstract

The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance 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.

Suggested Citation

  • Kuang-Liang Chang & Charles Ka Yui Leung, 2022. "How did the asset markets change after the Global Financial Crisis?," Chapters, in: Charles K.Y. Leung (ed.), Handbook of Real Estate and Macroeconomics, chapter 12, pages 312-336, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:19335_12
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    Cited by:

    1. is not listed on IDEAS
    2. Ng, Joe Cho Yiu & Leung, Charles Ka Yui & Chan, Suikang, 2022. "Corporate Real Estate Holding and Stock Returns: International Evidence from Listed Companies," MPRA Paper 111691, University Library of Munich, Germany.
    3. Charles Leung, 2021. "Handbook of Real Estate and Macroeconomics: An Introduction," GRU Working Paper Series GRU_2021_029, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.

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    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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