2021 MAY 04 (NewsRx) — By a
Our news journalists obtained a quote from the research from Bank for International Settlements, “Furthermore, a ‘commercial property factor’ adds significant explanatory power to both the CAPM and the 3-factor Fama-French model. At the same time, quantile regressions show that this factor becomes particularly prominent during downturns.”
According to the news editors, the research concluded: “It accounts for around half of the drop in average bank valuations during the great financial crisis and, again, during the Covid-19 pandemic.”
This research has been peer-reviewed.
For more information on this research see: What Can Commercial Property Performance Reveal About Bank Valuations? Q.
The news correspondents report that additional information may be obtained from
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.jimonfin.2020.102350. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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