Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209995 
Year of Publication: 
2011
Series/Report no.: 
Working Paper No. 2011/19
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The estimation approach relies on Bayesian methods to model the latent process followed by risk exposures and idiosynchratic volatility. Our application to monthly, 1979-2009 U.S. data for stock, bond, and REIT returns shows that both market and real consumption growth risks are priced throughout the sample by the cross-section of asset returns. There is weak evidence at best of structural misspricing of REIT valuations during the 2003-2006 sample.
Subjects: 
REIT returns
Bayesian estimation
structural instability
stochastic volatility
linear factor models
JEL: 
G11
C53
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-635-6
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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