Did investors regard real estate as 'safe' during the 'Japanese Bubble' in the 1980s?
It is well known that Japanese banks increased their exposure to land assets and the real estate sector in the latter half of the 1980s, and that this became a primary factor in the non-performing loan problem that emerged in the 1990s. What is less clear is whether this increased exposure was the result of active risk taking, and whether banks and other market participants regarded land and real estate assets as "risky" during the period of land price appreciation. To address this issue, we rely on the real estate data contained in corporate balance sheets to extract an estimate of the market sentiment toward land assets during the 1985-89 period. We find that the systematic risk of manufacturing companies increased with their real estate holdings but not with holdings of other balance sheet assets. This result indicates that market participants regarded real estate assets as riskier than the main operations of manufacturing companies during the "bubble period", even if they may not have foreseen the subsequent crash in real estate prices.
|Date of creation:||Nov 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Web page: http://www.bis.org/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jarrow, Robert & Rudd, Andrew, 1983. "A comparison of the APT and CAPM a note," Journal of Banking & Finance, Elsevier, vol. 7(2), pages 295-303, June.
- Takatoshi Ito & Tokuo Iwaisako, 1995.
"Explaining Asset Bubbles in Japan,"
NBER Working Papers
5358, National Bureau of Economic Research, Inc.
- Ogawa, K. & Suzuki, K., 1995.
"Land Value and Corporate Investment: Evidence from Japanese Panel Data,"
ISER Discussion Paper
0373, Institute of Social and Economic Research, Osaka University.
- Ogawa, Kazuo & Suzuki, Kazuyuki, 1998. "Land Value and Corporate Investment: Evidence from Japanese Panel Data," Journal of the Japanese and International Economies, Elsevier, vol. 12(3), pages 232-249, September.
- Ogawa, K. & Suzuki, K., 1996. "Land Value and Corporate Investment: Evidence from Japanese Panel Data," ISER Discussion Paper 0408, Institute of Social and Economic Research, Osaka University.
- Tokuo Iwaisako, 2003. "Household Portfolios in Japan," NBER Working Papers 9647, National Bureau of Economic Research, Inc.
- Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
When requesting a correction, please mention this item's handle: RePEc:bis:biswps:164. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl)
If references are entirely missing, you can add them using this form.