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A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data - Softcover
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In this study, I use a variance ratio test derived from the Campbell-Shiller return decomposition to test whether there is evidence of a bubble in Swiss housing and stock returns for the period 1980 to 2016. Vector autoregressive models (VAR models) containing macro variables, i.e. real interest rates, real per capita Gross Domestic Product (GDP) growth and a term spread variable, and cash flow data are used for the stock and housing market to model cash flow derived returns of the housing and stock market. From the Campbell-Shiller decomposition the unexpected housing and stock return variance is decomposed into cash flow and return news components. This analysis’ findings are that while stock return volatility is driven predominantly by fundamentals like dividend growth, the housing market’s unexpected return variance can also be explained mainly by the cash flow (i.e. rent growth) news component, although the variance decomposition is not very robust with respect to the underlying VAR-model. Finally, a variance-ratio test suggested by Engsted and Tanggard (2001) is computed to test whether there were bubbles in the housing and/or stock market.
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A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data
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LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
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A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data
Published by
LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
New
Softcover
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A variance decomposition analysis for Swiss housing and stock returns
Published by
LAP LAMBERT Academic Publishing Feb 2019, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, I use a variance ratio test derived from the Campbell-Shiller return decomposition to test whether there is evidence of a bubble in Swiss housing and stock returns for the period 1980 to 2016. Vector autoregressive models (VAR models) containing macro variables, i.e. real interest rates, real per capita Gross Domestic Product (GDP) growth and a term spread variable, and cash flow data are used for the stock and housing market to model cash flow derived returns of the housing and stock market. From the Campbell-Shiller decomposition the unexpected housing and stock return variance is decomposed into cash flow and return news components. This analysis' findings are that while stock return volatility is driven predominantly by fundamentals like dividend growth, the housing market's unexpected return variance can also be explained mainly by the cash flow (i.e. rent growth) news component, although the variance decomposition is not very robust with respect to the underlying VAR-model. Finally, a variance-ratio test suggested by Engsted and Tanggard (2001) is computed to test whether there were bubbles in the housing and/or stock market. 56 pp. Englisch. Seller Inventory # 9786139451890
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A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data
Published by
LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
New
Softcover
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A variance decomposition analysis for Swiss housing and stock returns
Published by
LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Marty RudolfRudolf Marty studied economics at Zuerich University where he received his Ph.D. After being at the KOF Swiss Research Institute, he worked as an analyst in various financial institutions and in an insurance company from. Seller Inventory # 385858866
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A variance decomposition analysis for Swiss housing and stock returns: An empirical analysis using aggregate Swiss housing and stock data
Published by
LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
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A variance decomposition analysis for Swiss housing and stock returns
Published by
LAP LAMBERT Academic Publishing Feb 2019, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
New
Taschenbuch
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Taschenbuch. Condition: Neu. Neuware -In this study, I use a variance ratio test derived from the Campbell-Shiller return decomposition to test whether there is evidence of a bubble in Swiss housing and stock returns for the period 1980 to 2016. Vector autoregressive models (VAR models) containing macro variables, i.e. real interest rates, real per capita Gross Domestic Product (GDP) growth and a term spread variable, and cash flow data are used for the stock and housing market to model cash flow derived returns of the housing and stock market. From the Campbell-Shiller decomposition the unexpected housing and stock return variance is decomposed into cash flow and return news components. This analysis¿ findings are that while stock return volatility is driven predominantly by fundamentals like dividend growth, the housing market¿s unexpected return variance can also be explained mainly by the cash flow (i.e. rent growth) news component, although the variance decomposition is not very robust with respect to the underlying VAR-model. Finally, a variance-ratio test suggested by Engsted and Tanggard (2001) is computed to test whether there were bubbles in the housing and/or stock market.Books on Demand GmbH, Überseering 33, 22297 Hamburg 56 pp. Englisch. Seller Inventory # 9786139451890
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A variance decomposition analysis for Swiss housing and stock returns : An empirical analysis using aggregate Swiss housing and stock data
Published by
LAP LAMBERT Academic Publishing, 2019
ISBN 10: 6139451892
ISBN 13: 9786139451890
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this study, I use a variance ratio test derived from the Campbell-Shiller return decomposition to test whether there is evidence of a bubble in Swiss housing and stock returns for the period 1980 to 2016. Vector autoregressive models (VAR models) containing macro variables, i.e. real interest rates, real per capita Gross Domestic Product (GDP) growth and a term spread variable, and cash flow data are used for the stock and housing market to model cash flow derived returns of the housing and stock market. From the Campbell-Shiller decomposition the unexpected housing and stock return variance is decomposed into cash flow and return news components. This analysis' findings are that while stock return volatility is driven predominantly by fundamentals like dividend growth, the housing market's unexpected return variance can also be explained mainly by the cash flow (i.e. rent growth) news component, although the variance decomposition is not very robust with respect to the underlying VAR-model. Finally, a variance-ratio test suggested by Engsted and Tanggard (2001) is computed to test whether there were bubbles in the housing and/or stock market. Seller Inventory # 9786139451890
Quantity: 1 available