Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing model (CAPM) to investigate whether direct real...

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an...

Weather derivatives are contingent claims with payo based on a pre-speci ed weather index. Firms exposed to weather risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives in over-the-counter markets under...

The study provides insight into the pricing of publicly traded European real estate equities. The Fama-French three-factor model, as well as unconditional and conditional Fama-MacBeth regressions are applied to a sample of 275 real estate equities from 16 European countries over the period 1988...