How Did the Asset Markets Change after the Global Financial Crisis?

59 Pages Posted: 13 Apr 2021

See all articles by Charles K. Leung

Charles K. Leung

City University of Hong Kong

Kuang-Liang Chang

National Chiayi University

Multiple version iconThere are 2 versions of this paper

Date Written: April 13, 2021

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.

Keywords: economic index of riskiness, economic performance index, real estate markets, stock markets separated

JEL Classification: C50, G32, R30

Suggested Citation

Leung, Charles Ka Yui and Chang, Kuang-Liang, How Did the Asset Markets Change after the Global Financial Crisis? (April 13, 2021). Available at SSRN: https://ssrn.com/abstract=3825264 or http://dx.doi.org/10.2139/ssrn.3825264

Charles Ka Yui Leung (Contact Author)

City University of Hong Kong ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

Kuang-Liang Chang

National Chiayi University ( email )

No. 300 Syuefu Rd.
Chiayi City 60004
Taiwan

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