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 … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …

to consumer price inflation in an international comparison over the period from 1990 to 2004. The analysis focuses on the … a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed also in …. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country. …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …