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

作者：Shi, Qi

来源：North American Journal of Economics and Finance, 2020, 51: UNSP 100865.

DOI：10.1016/j.najef.2018.10.013

• Criticism
• Alternative real-estate based model
• Asset pricing

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.

• 出版日期2020-1
• 单位浙江大学