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-bills (default risk factor);
•  other: return on portfolios of the stock market, government
bonds, REITs, small caps, and on the Russell-NCREIF
portfolio;
•  period: 1978-1989
There is a real estate risk premium for
all stocks in addition to the stock market
and the interest rate risk premia.
Allen/
Madura/
Wiant
(1995)
•  indices: returns on 125 US-banks, separately and divided
into portfolios (Ri), S&P 500 index (RM), actual T-bond
rates and unexpected T-bond yield changes (RI), NAREIT
Equity REIT Index (RR);
•  other: balance sheet data;
•  period: 1979-1992
There is a positive relationship between
monthly bank returns and the real estate
index; the sensitivity of bank values to
the real estate market has increased over
time; the bank-specific sensitivity is
positively related to the bank’s balance
sheet exposure to real estate.
He/
Myer/
Webb
(1996)
•  indices: returns on various portfolios of 166 US-bank
holding companies (Ri), various stock market, interest rate,
and real estate market indices;
•  other: balance sheet data;
•  period: 1986-1991
Bank stocks are very sensitive to
changes in real estate returns; banks
with a larger portion of their total loans
invested in real estate are more
sensitive.
                                                

8

Allen/Madura/Wiant (1995), p. 131.

9

See Lausberg (1997) for a detailed discussion of the studies.All these studies use multi-factor models.  The variables used and the time periods
covered, however, differ greatly.  This lends credibility to their unanimous finding: there is a
significant real estate market risk for American banks.
Unfortunately, the transferability of this insight to other countries, times and conditions
may be limited because the late 1980s, which all studies include, saw a nationwide real estate crisis
of unparalleled dimensions.  It had a tremendous effect on the banking industry and certainly also
on the banks’ valuation by investors.  Therefore we cannot assume that the relationship between

banks and the real estate market observed in the US is the same in other countries.

2.2.  Evidence from Germany

A recent study by the author chose a similar three-factor model to examine the real estate

sensitivity of German bank stock returns.

10

 One challenge was to allow for national differences
(e.g., in the banking systems or in the available data) without giving up the similar design that was
facilitating an international comparison.
methodology
Preliminary work showed that there had been only a few APT-studies for Germany, so
there was no consensus regarding the relevant risk factors for German bank stocks.  The use本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。