This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and … real estate risk premium is positively related to the GDP growth rate and the change in the credit spread, and negatively … related to the inflation rate, the stock market risk premium, and the change in the term spread. The sensitivities vary across …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

those in the highest quintile by 6 to 7% annually after adjusting for risk. Our results are consistent with recent …

strategy generates around 11% annualized value-weighted risk-adjusted return. Investor inattention, illiquidity, and sentiment …

risk-return relationship in the cross-section of real estate equities internationally. I construct a global COVID-19 risk … factor to capture the risk exposure of individual stocks to the pandemic. The paper also assesses the low-risk effect puzzle … in real estate stocks. I find that the average firm sensitivity to the COVID-19 risk factor increases from close to zero …

incorporates industry concentration as a distinguished risk factor capturing important features of product markets. Our results …