Abstract
This article analyzes the role real estate risks in the pricing of Financial sector stocks for a sample of 14 countries. Real estate risk measures are drawn from the FTSE/EPRA NAREIT indexes. We also develop a specific US real estate risk premium. The period covered runs from February 2000 to December 2015. GMM estimates of parsimonious multifactor models reveal statistically significant domestic and US real estate risks in the financial sector.
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