Contents -- List of Contributors -- 1 Introduction: Real Estate Analysis in a Dynamic Risk Environment -- 1.1 Time-varying Risk Premium of Real Estate -- 1.2 Short-term Price Behavior in Real Estate Securities Market -- 1.3 How Real Estate Market Affects Financial Institutions -- 1.4 Analysis of Emerging Real Estate Market -- 1.5 Summary -- References -- 2 The Predictability of Returns on Equity REITs and their Co-movement with Other Assets -- 2.1 Introduction -- 2.2 The Asset Pricing Framework -- 2.3 The Estimation Procedure -- 2.4 Data -- 2.5 Empirical Results -- 2.6 Summary and Conclusions -- Acknowledgements -- Appendix: Elaboration of the Estimation Procedure -- References -- 3 The Predictability of Real Estate Returns and Market Timing -- 3.1 Introduction -- 3.2 Method for Predicting Asset Returns -- 3.3 Data -- 3.4 Empirical Results -- 3.5 Summary and Conclusions -- Acknowledgements -- Appendix: Elaboration of the Asset Pricing Framework and Estimation Procedure -- References -- 4 A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan -- 4.1 Introduction -- 4.2 The Basic Framework and Estimation Process -- 4.3 The Data -- 4.4 Empirical Results -- 4.5 Summary and Conclusions -- Appendix: The Dividend-ratio Model -- References -- 5 Price Reversal Transaction Costs and Arbitrage Profits in Real Estate Securities Market ** -- 5.1 Introduction -- 5.2 Empirical Methods -- 5.3 Data Estimation and Problems -- 5.4 Empirical Result and Its Implications -- 5.5 Conclusions -- References -- 6 Bank Risk and Real Estate: An Asset Pricing Perspective -- 6.1 Introduction -- 6.2 The Asset Pricing Framework -- 6.3 The Estimation Procedure -- 6.4 Data -- 6.5 Empirical Results -- 6.6 Summary and Conclusions -- Acknowledgements -- Appendix -- References.

7 Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment -- 7.1 Research Background and Objective -- 7.2 Description of Methodology -- 7.3 Data -- 7.4 Empirical Results -- 7.5 Summary and Conclusions -- References -- 8 The Time-variation of Risk for Life Insurance Companies -- 8.1 Introduction -- 8.2 The Asset Pricing Framework -- 8.3 Data -- 8.4 Empirical Results -- 8.5 Test of Asset Pricing Models -- 8.6 Summary and Conclusions -- Appendix A -- References -- 9 The Return Distributions of Property Shares in Emerging Markets -- 9.1 Data Source -- 9.2 Return and Risk -- 9.3 Normality Skewness and Kurtosis -- 9.4 Predictability -- 9.5 Portfolio Diversification -- 9.6 Conclusion -- References -- 10 Conditional Risk Premiums of Asian Real Estate Stocks ** -- 10.1 Introduction -- 10.2 The Asset Pricing Framework -- 10.3 The Single-Country Model -- 10.4 The Multi-Country Model -- 10.5 Summary and Conclusions -- References -- 11 Institutional Factors and Real Estate Returns: A Cross-Country Study -- 11.1 Introduction -- 11.2 The Data -- 11.3 Methodology -- 11.4 Empirical Results -- 11.5 Conclusion -- References -- Index.