Firm Market Performance and Volatility in a National Real Estate Sector
Tufts University - Department of Economics
Joe Akira Yoshino
Universidade de São Paulo - Department of Economics
October 15, 2010
We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange, from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target and, the whole sector is below target on average.
Number of Pages in PDF File: 48
Keywords: Risk-Return Tradeoff, National Real Estate Market, Momentum, Reversal
JEL Classification: G10, G14, O54, R30working papers series
Date posted: October 16, 2010
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