房地产市场对银行收益的系统性影响研究——以美国、中国香港、中国大陆市场为例
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财经研究 2009 年 第 35 卷第 11 期, 页码：126 - 135
摘要
参考文献
摘要
文章研究了三地上市银行和房地产公司股票之间的收益关系,发现三个市场的银行股票收益都显著地受到房地产股票波动的影响,并且利用三地数据的结构性差异点,确定了次贷危机发生作用的时点。对比次贷危机前后的三个市场银行股和房地产股票收益的关系后发现,代表银行股收益对房地产股波动敏感性的回归系数在次贷危机后均有所增大,显示美国和中国的银行业所面临的房地产风险已经由非系统性风险转变为系统性风险,其风险敞口在加大。
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[3]Ghosh C,R Guttery,C F Sirmans.The effects of the real estate crisis on institutional stock prices[J].Real Estate Economics,1997,25:591-614.
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[5]Mei J,A Saunders.Bank risk and real estate:An asset pricing perspective[J].Journal of Real Estate Finance and Economics,1995,10:199-224.
引用本文
李宏, 曹宁. 房地产市场对银行收益的系统性影响研究——以美国、中国香港、中国大陆市场为例[J]. 财经研究, 2009, 35(11): 126–135.
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