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Speculation --- Arbitrage

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Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US4 trillion, and the REITs market about US 200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents:

Capital assets pricing model. --- Securities. --- Capital assets pricing model --- Securities --- Finance --- Business & Economics --- Investment & Speculation --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities law --- Underwriting --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Law and legislation --- Investments --- Investment banking --- Capital --- Mathematical models

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Zonder onderwerpscode: economie

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This paper breaks assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition the paper uses a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas.