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The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies.(...)
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Purpose – This paper aims to analyze the impact of common monetary policy shocks on house prices at national and capital city levels of aggregation, using Australian data and the Lastrapes (2005) two-part structural vector autoregressive (SVAR) empirical method. Design/methodology/approach –...
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Purpose – The aim of this paper is to consider the appropriate benchmark risk free rate sui for pricing of property investments in the UK and, in doing so, investigate the financial characteristics and performance of the UK gilt yields. European investors have been significant players in the...
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