房地產(chǎn)風(fēng)險(xiǎn)外文翻譯—銀行股票收益中的房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)（節(jié)選）

1、<p>　　字?jǐn)?shù)：英文2383單詞，12511字符；中文3898漢字</p><p>　　出處：Martins A M,Serra A P,Martins F V.Real estate market risk in bank stock returns: evidence for 15 European countries[J].International Journal of Strategic P

2、roperty Management, 2016, 20(2): 142-155.</p><p><b>　　外文文獻(xiàn)：　</b></p><p>　　REAL ESTATE MARKET RISK IN BANK STOCK RETURNS: EVIDENCE FOR 15 EUROPEAN COUNTRIES</p><p>　　Abst

3、ract In countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. Changes in the value of real estate can have a potentially significant imp

4、act on the default risk of banks and on their profitability as a result of high exposure to the real estate sector. This is especially critical during real estate crises, when bank losses tend to increase dramatically, p

5、lacing the entire financial system at risk of collapse, </p><p>　　KEYWORDS: Real estate; Mortgage lending; Banks; Asset pricing; Property prices</p><p>　　1.INTRODUCTION</p><p>　　In

6、countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. He et al. (1996), Lausberg (2004) and Lu and So (2005), indicate the existence of a

7、 high concentration of activity and assets in the real estate sector by banks in the USA, Germany, and in some Asian countries.</p><p>　　This way, in spite of all bank loans being vulnerable to general marke

8、t conditions, the default risk on loans is influenced by a specific additional factor: bank real estate loans are affected by movements in the real estate market which are only indirectly related to the general economic

9、conditions. Taking into account that the market value of banks is systematically influenced by the real estate market, the valuation models of bank stocks should include factors which reflect the conditions in </p>

10、<p>　　The inclusion of real estate market conditions as a risk factor has not been thoroughly considered in the literature. Studies looking the behavior of bank share prices focus on market and interest rate risks

11、 (see for example, Viale et al. 2009). The Asian financial crisis and, more recently, the subprime crisis highlighted the importance of the real estate risk. Herring and Wachter (1999) and Lu and So (2005) state that, pr

12、ior to these crises, there was a tendency for over-investment in the real</p><p>　　A drop in real estate prices brings about a reduction in bank equity, as a consequence of the reduction in the value of the

13、real estate asset and loan portfolios held by banks, and by the corresponding reduction of collaterals. Also, the drop in real estate prices tends to result in greater awareness by banks of the perceived risks of real es

14、tate loans. For these reasons, it is very likely that a significant decrease in bank credit granting will occur. Added to this, supervisors and regulators r</p><p>　　In this article, we study the sensitivity

15、 of bank returns with regards to real estate returns in 15 European countries (EU-15). In particular, we look at the relationship between the banking industry stock market returns and the returns of real estate companies

16、, for each of the EU-15 countries in our sample, in order to assess the reasonableness of the hypothesis of a priced risk factor in real estate returns of European banks. In our analysis we use a three-factor risk model

17、and an extended Fam</p><p>　　Given that there are significant differences between the EU-15 countries and the US banking industry and among the 15 countries in respect to the characteristics of their mortgag

18、e markets (Acharya et al. 2011) and other real estate market institutional features, and in the dynamics of real estate prices (Miles, Pillonca 2008), we explore whether bank stocks react differently to real estate marke

19、t conditions in each of those countries.</p><p>　　The results of our research indicate that the stocks of the EU-15 banks are sensitive to the changes in real estate conditions. We find a positive significan

20、t relation between bank stock returns and real estate returns, even after controlling for general market conditions and interest rates changes.</p><p>　　2.LITERATURE REVIEW</p><p>　　Studies look

21、ing at the importance of real estate market conditions on bank stock returns are fairly recent and almost exclusively look at the US market. The vast majority of studies that examine common risk factors in bank stock ret

22、urns uses a two-factor risk model, which implies that bank stock returns are influenced by general market conditions and by movements in interest rates. For example, Flannery and James (1984) and Viale et al. (2009) find

23、 a significant negative relation between the cha</p><p>　　Allen et al. (1995) argue that the equity value of banks reacts significantly to real estate market conditions particularly when banks have a signifi

24、cant exposure to the real estate sector and the exposure is significantly influenced by changes in the conditions of the real estate sector.</p><p>　　2.1.Real estate market conditions and bank stock returns&

25、lt;/p><p>　　Although mortgage loans are exposed to interest rate risk, they are also exposed to default risk. As previously stated, the default risk is at least in part a function of changes in the value of rea

26、l estate. When there is a decrease in the value of loan collaterals, there is an increased probability of default due to the decreased value of loans with collateral. Thus, given that the value of collateral has an impac

27、t on the value of loans and mortgages, the potential loss to a bank as a result of</p><p>　　While the real estate market and overall stock market indices are positively correlated, the two markets do not alw

28、ays behave identically. Quan and Titman (1999) study the relation between stock returns and changes in property values and rents for a data of 17 different countries over 14 years. They find, with the exception of Japan,

29、 the contemporaneous relation between annual real estate price changes and stock returns is not statistically significant. yet, over longer measurement intervals, th</p><p>　　Based on the arguments above, ba

30、nk stock returns are related to changes in real estate market conditions, conditional on the bank’s asset and loan exposure to the real estate market.</p><p>　　2.2. Previous empirical findings</p><

31、;p>　　Lu and So (2005) present a set of additional studies which show the existence of a significant relationship between the real estate market and the market capitalization of banks. Peek and Rosengren (1994) state t

32、hat large bank equity losses are the result of exposure to high-risk mortgage loans. Peek and Rosengren (1996) further show that banks with low capital ratios tend to reduce real estate credit grants in a substantial man

33、ner after regulatory measures are introduced. Ghosh et al. (1997) sh</p><p>　　Hancock and Wilcox (1993, 1994 and 1997) carried out a set of studies on the interaction between loan grants and real estate mark

34、et activity. They show that the flow of bank loans in the US in 1990 declined primarily due to problems related to the real estate industry, and suggest that the reduction of bank equity had a significant negative effect

35、 on the residential and commercial real estate market.</p><p>　　2.3. The European market</p><p>　　Tsatsaronis and Zhu (2004), Acharya et al. (2011) and Martins et al. (2012), argue that there ar

36、e significant differences among the EU countries, and between the EU and the US in the case of Acharya et al. (2011), with regard to the characteristics of their mortgage markets. For example, while residential mortgage

37、loans in terms of GDP declined in Germany from 55.6% in 1999 to 43.2% in 2008, there was a substantial increase of this asset class in other countries. Specifically, Spain and Ireland </p><p>　　3.METHODOLOGY

38、 AND SAMPLE</p><p>　　3.1.Methodology</p><p>　　The literature reviewed above shows the existence of a close relationship between the valuation of banks and banking activity, and the real estate i

39、ndustry, in the U.S. and in Asia. yet the issue was not analyzed for the EU banking industry.</p><p>　　To carry out the analysis of the relationship between bank stock returns and real estate market conditio

40、ns we use two models: a three-factor risk model (market risk, interest rate risk and real estate market risk), and an extended Fama-French model with a real estate market risk factor.</p><p>　　3.2.Sample<

41、/p><p>　　We use daily and monthly returns. Three time frames are used in the estimates of the two models:</p><p>　　(1)Total Period – this time frame differs from country to country, by virtue of th

42、e depth of the series used in the model estimates. This period goes from the start date of the index for each of the EU-15 countries to 2008；</p><p>　　(2)for a sub-period between 2002 and 2006 (five-year ti

43、me frame); and</p><p>　　(3)for a sub-period between 1997 and 2006 (ten-year time frame).</p><p>　　4.CONCLUSION</p><p>　　Given the weight of real estate holdings on the balance she

44、ets of banks, the objective of this study is to assess if bank stock returns are systematically affected by the real estate market conditions. The results show the existence of a positive and statistically significant re

45、lationship between bank stock returns and real estate market returns proxies suggesting that real estate risk could be a priced factor. This relationship between the banking industry and real estate is more significant w

46、h</p><p>　　our results have two important implications. First, regulators, managers and investors should monitor the exposure of banks to the real estate market, just as they monitor the exposure of banks to

47、 interest rates. Second, with respect to event study tests for the banking sector, the results suggest that the underlying return generating models should incorporate an additional risk factor: real estate. Finally, real

48、 estate market risk should be included alongside market and interest rate risks to e</p><p>　　In this study, we look at the sensitivities of banking industry indices of the 15 EU countries. In a related work

49、ing paper we estimate the sensitivities of individual bank stock returns to realestate market conditions and analyze their crosss-ectional differences. We show that individual bank sensitivities to real estate market ris

50、k are a negative function of bank size, and a positive function of the degree of bank’s balance-sheet asset and loan exposure to the real estate market. Further, sensi</p><p><b>　　中文譯文：</b></p

51、><p>　　銀行股票收益中的房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)：15個(gè)歐洲國(guó)家的證據(jù)</p><p>　　摘要 在金融體系高度發(fā)達(dá)的國(guó)家，銀行投資組合對(duì)房地產(chǎn)行業(yè)有直接或間接的高風(fēng)險(xiǎn)敞口。房地產(chǎn)價(jià)值的變化會(huì)對(duì)銀行的違約風(fēng)險(xiǎn)和房地產(chǎn)行業(yè)的高收益造成潛在的重大影響。這在房地產(chǎn)危機(jī)中尤為重要，當(dāng)銀行虧損急劇增加時(shí)，會(huì)導(dǎo)致整個(gè)金融體系面臨崩潰的危險(xiǎn)，就像最近的國(guó)際次貸危機(jī)一樣。本文研究了15個(gè)歐洲國(guó)家銀行股票收益對(duì)房

52、地產(chǎn)收益的敏感性。研究結(jié)果表明，銀行股對(duì)房地產(chǎn)市場(chǎng)狀況十分敏感。在控制一般市場(chǎng)條件和利率變動(dòng)之后，銀行股票收益與房地產(chǎn)收益之間存在正相關(guān)關(guān)系。</p><p>　　關(guān)鍵詞：房地產(chǎn)；抵押貸款；銀行；資產(chǎn)定價(jià)；房地產(chǎn)價(jià)格</p><p><b>　　1.簡(jiǎn)介</b></p><p>　　在金融體系高度發(fā)達(dá)的國(guó)家，銀行投資組合對(duì)房地產(chǎn)行業(yè)有直接或間接

53、的高風(fēng)險(xiǎn)敞口。何等人（1996）、勞斯貝格（2004）、呂和索（2005）都指出，美國(guó)、德國(guó)和一些亞洲國(guó)家的銀行在房地產(chǎn)行業(yè)中的活動(dòng)和資產(chǎn)高度集中。</p><p>　　這樣一來(lái)，盡管所有的銀行貸款都容易受到一般市場(chǎng)條件的影響，但貸款的違約風(fēng)險(xiǎn)還受特定的額外的因素影響：銀行房地產(chǎn)貸款受房地產(chǎn)市場(chǎng)波動(dòng)的影響，而這些變動(dòng)只是與一般經(jīng)濟(jì)條件間接相關(guān)?？紤]到銀行的市場(chǎng)價(jià)值受到房地產(chǎn)市場(chǎng)的系統(tǒng)性影響，銀行股的估值模型應(yīng)包括

54、反映房地產(chǎn)市場(chǎng)狀況的因素。鑒于房地產(chǎn)業(yè)的融資是銀行貸款組合的重要組成部分，房地產(chǎn)市場(chǎng)狀況很可能影響其股價(jià)。</p><p>　　將房地產(chǎn)市場(chǎng)狀況作為風(fēng)險(xiǎn)因素納入文獻(xiàn)中尚未得到充分考慮。關(guān)于銀行股價(jià)行為的研究側(cè)重于市場(chǎng)風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)方面（例如，維埃爾等人，2009）。亞洲金融危機(jī)和最近的次貸危機(jī)凸顯了房地產(chǎn)風(fēng)險(xiǎn)的重要性。赫靈和瓦克泰（1999）、呂和索（2005）指出，在這些危機(jī)發(fā)生之前，由于這種投資的高回報(bào)性，房

55、地產(chǎn)行業(yè)具有過(guò)度投資的趨勢(shì)，這可能會(huì)導(dǎo)致這些市場(chǎng)中絕大多數(shù)的房地產(chǎn)價(jià)格出現(xiàn)投機(jī)泡沫。此外，房地產(chǎn)價(jià)格的上漲也帶來(lái)了抵押品價(jià)值的上漲，導(dǎo)致貸款人認(rèn)為風(fēng)險(xiǎn)較低。由于這些原因，房地產(chǎn)價(jià)格的上漲往往導(dǎo)致銀行信貸的不斷增加，從而加劇房地產(chǎn)價(jià)格進(jìn)一步上漲。道德風(fēng)險(xiǎn)的存在，銀行部門(mén)自由化之后的激烈競(jìng)爭(zhēng)和對(duì)規(guī)模增長(zhǎng)的強(qiáng)調(diào)，以及對(duì)房地產(chǎn)價(jià)格逆轉(zhuǎn)可能性的組織記憶的喪失，會(huì)導(dǎo)致銀行承擔(dān)過(guò)高風(fēng)險(xiǎn)，而收取的風(fēng)險(xiǎn)溢價(jià)不足以彌補(bǔ)潛在損失（赫靈，瓦克泰，1999）。希

56、門(mén)尼斯等人（2006）指出，在繁榮期間，風(fēng)險(xiǎn)較高的借款人更容易獲得信貸，抵押品需求也會(huì)減少。德拉里恰等人（2012）也發(fā)現(xiàn)以下證據(jù)，貸款申請(qǐng)數(shù)量大幅度增加與貸款標(biāo)準(zhǔn)的下降有關(guān)。作者們都表示，在信貸增長(zhǎng)較快的地區(qū)，放貸標(biāo)準(zhǔn)下降的幅度更大。他們還指出，新的貸款人的進(jìn)入促使貸款</p><p>　　由于銀行持有的房地產(chǎn)資產(chǎn)和貸款組合的價(jià)值下降，以及抵押品的相應(yīng)減少，因此房地產(chǎn)價(jià)格的下降導(dǎo)致了銀行股本的減少。此外，房地產(chǎn)

57、價(jià)格的下降往往會(huì)使銀行提高對(duì)房地產(chǎn)貸款風(fēng)險(xiǎn)的認(rèn)識(shí)。由于這些原因，很可能會(huì)促發(fā)銀行信貸出現(xiàn)大幅度下降的現(xiàn)象。另一方面，監(jiān)管者和監(jiān)管機(jī)構(gòu)會(huì)對(duì)銀行股本減少的情況作出反應(yīng)，對(duì)可變資產(chǎn)附加要求，對(duì)房地產(chǎn)資產(chǎn)不良貸款的風(fēng)險(xiǎn)評(píng)估和預(yù)防的規(guī)定更加嚴(yán)格。這些措施進(jìn)一步降低了銀行信貸，從而加劇了房地產(chǎn)價(jià)格的下跌。這似乎就是房地產(chǎn)市場(chǎng)狀況與銀行股票風(fēng)險(xiǎn)和收益之間的傳導(dǎo)機(jī)制。</p><p>　　在本文中，我們研究了15個(gè)歐洲國(guó)家（EU

58、-15）的銀行收益對(duì)房地產(chǎn)收益的敏感性。特別是，為了評(píng)估歐洲銀行房地產(chǎn)收益中的定價(jià)風(fēng)險(xiǎn)因素假說(shuō)的合理性，我們關(guān)注了樣本中每個(gè)歐洲國(guó)家的銀行業(yè)股票市場(chǎng)收益與房地產(chǎn)企業(yè)收益之間的關(guān)系。在我們的分析中，我們使用了一個(gè)三因素風(fēng)險(xiǎn)模型和一個(gè)擴(kuò)展的Fama-French模型（1992和1993）。</p><p>　　鑒于在抵押貸款市場(chǎng)特征（阿查里雅等人，2011）和其他房地產(chǎn)市場(chǎng)的制度特征，以及房地產(chǎn)價(jià)格動(dòng)態(tài)（邁爾斯，皮隆

59、卡，2008）方面，EU-15與美國(guó)銀行業(yè)以及15個(gè)國(guó)家之間都存在顯著差異，所以我們探討了銀行股對(duì)這些國(guó)家的房地產(chǎn)市場(chǎng)狀況是否有不同的反應(yīng)。</p><p>　　我們的研究結(jié)果表明，EU-15的銀行股票對(duì)房地產(chǎn)狀況的變化很敏感。我們發(fā)現(xiàn)，即使是在控制一般市場(chǎng)條件和利率變動(dòng)之后，銀行股票收益與房地產(chǎn)收益之間存在著顯著的正相關(guān)關(guān)系。</p><p><b>　　2.文獻(xiàn)綜述</

60、b></p><p>　　最近的研究比較關(guān)注房地產(chǎn)市場(chǎng)狀況對(duì)銀行股票收益的重要性，尤其關(guān)注美國(guó)市場(chǎng)。關(guān)于銀行股票收益中常見(jiàn)風(fēng)險(xiǎn)因素的絕大多數(shù)研究都采用雙因素風(fēng)險(xiǎn)模型，這意味著銀行股票收益受到一般市場(chǎng)條件和利率變動(dòng)的影響。例如，弗蘭納里和詹姆士（1984）、維埃爾等人（2009）發(fā)現(xiàn)，利率變化與銀行股票收益之間存在顯著的負(fù)相關(guān)關(guān)系，這取決于資產(chǎn)負(fù)債表對(duì)利率風(fēng)險(xiǎn)的敞口。</p><p>

61、　　艾倫等人（1995）認(rèn)為，房地產(chǎn)市場(chǎng)的狀況會(huì)對(duì)銀行的股本價(jià)值產(chǎn)生顯著影響，特別是當(dāng)銀行對(duì)房地產(chǎn)行業(yè)有重大的敞口時(shí)，而房地產(chǎn)行業(yè)的狀況發(fā)生變化時(shí), 這些風(fēng)險(xiǎn)的敞口也受到了明顯的影響。</p><p>　　2.1.房地產(chǎn)市場(chǎng)狀況和銀行股票收益</p><p>　　雖然抵押貸款面臨利率風(fēng)險(xiǎn)，但也存在違約風(fēng)險(xiǎn)。如前所述，違約風(fēng)險(xiǎn)至少是房地產(chǎn)價(jià)值變化在某種程度上起作用。當(dāng)貸款抵押品的價(jià)值下降時(shí)，

62、由于抵押貸款的價(jià)值下降，違約概率會(huì)有所增加。因此，鑒于抵押品的價(jià)值對(duì)貸款和抵押貸款的價(jià)值有影響，違約風(fēng)險(xiǎn)所導(dǎo)致的銀行潛在損失與抵押品的價(jià)值成反比。</p><p>　　雖然房地產(chǎn)市場(chǎng)和整體股市指數(shù)呈正相關(guān)，但這兩個(gè)市場(chǎng)的行為并不總是一致的。全和蒂特曼（1999）研究了14年來(lái)17不同國(guó)家的股票收益與物業(yè)價(jià)值和租金變動(dòng)之間的關(guān)系。他們發(fā)現(xiàn)，除日本之外，年度房地產(chǎn)價(jià)格變動(dòng)與股票收益之間的同時(shí)期關(guān)系并沒(méi)有統(tǒng)計(jì)學(xué)意義。然

63、而，在更長(zhǎng)的測(cè)量區(qū)間內(nèi)，他們發(fā)現(xiàn)股票收益與租金和財(cái)產(chǎn)價(jià)值變化之間存在重要關(guān)系。因此，由于銀行對(duì)這一因素的敞口, 房地產(chǎn)市場(chǎng)狀況的變化所造成的影響并沒(méi)有完全被銀行股對(duì)股票市場(chǎng)的敞口所取代。雖然房地產(chǎn)與股票市場(chǎng)價(jià)格之間呈正相關(guān)，但考慮到這兩個(gè)市場(chǎng)都受經(jīng)濟(jì)活動(dòng)水平的影響，所以幾個(gè)因素就可以減少兩個(gè)時(shí)間序列之間的相關(guān)性。例如，由于一個(gè)經(jīng)濟(jì)體的企業(yè)部門(mén)的投資機(jī)會(huì)增加，其股票價(jià)格也有可能會(huì)上漲。這種投資機(jī)會(huì)的增加可能反過(guò)來(lái)導(dǎo)致實(shí)際利率的上升，進(jìn)而降

64、低房地產(chǎn)的價(jià)值。</p><p>　　基于上述觀點(diǎn)，銀行股票收益與房地產(chǎn)市場(chǎng)狀況的變化有關(guān)，這取決于銀行對(duì)房地產(chǎn)市場(chǎng)的資產(chǎn)和貸款敞口。</p><p>　　2.2.以前的實(shí)證研究結(jié)果</p><p>　　呂和索（2005）進(jìn)行了一系列額外的研究，表明房地產(chǎn)市場(chǎng)與銀行市值之間存在著重要的關(guān)系。皮克和羅森格倫（1994）指出，大額銀行股本損失是高風(fēng)險(xiǎn)抵押貸款敞口的結(jié)果。

65、皮克和羅森格倫（1996）進(jìn)一步表明，資本比率低的銀行往往在實(shí)施監(jiān)管措施后，會(huì)大幅度減少房地產(chǎn)信貸補(bǔ)助。高希等人（1997）還表示，金融機(jī)構(gòu)的價(jià)格對(duì)有關(guān)房地產(chǎn)行業(yè)的負(fù)面消息的公布反應(yīng)消極。</p><p>　　漢考克和威爾科克斯（1993，1994和1997）對(duì)貸款補(bǔ)助和房地產(chǎn)市場(chǎng)活動(dòng)之間的相互作用進(jìn)行了一系列研究。他們指出，1990年美國(guó)銀行貸款的流動(dòng)性下降主要是由于房地產(chǎn)行業(yè)存在的問(wèn)題，并表示銀行股本的減少對(duì)

66、住宅和商業(yè)房地產(chǎn)市場(chǎng)產(chǎn)生了嚴(yán)重的負(fù)面影響。</p><p><b>　　2.3.歐洲市場(chǎng)</b></p><p>　　Tsatsaronis和朱（2004）、阿查里雅等人（2011）、馬丁斯等人（2012）辯稱(chēng)，歐盟國(guó)家之間，以及歐盟和美國(guó)在阿查里雅等人(2011) 的情況下, 在其抵押貸款市場(chǎng)的特點(diǎn)方面存在著顯著差異。例如，雖然德國(guó)住房抵押貸款從1999年的55.6

67、％下降到2008年的43.2％，但其他國(guó)家的這類(lèi)資產(chǎn)卻大幅增加。具體而言，西班牙和愛(ài)爾蘭在這一期間的住房貸款價(jià)值幾乎翻了兩番。此外，整個(gè)歐洲的房地產(chǎn)價(jià)格動(dòng)態(tài)存在巨大差異：邁爾斯和皮隆卡（2008）提到，西班牙、瑞典、比利時(shí)和英國(guó)等國(guó)房?jī)r(jià)泡沫的存在，與不同類(lèi)型的抵押貸款安排有關(guān)，而在大多數(shù)其他歐洲國(guó)家，房?jī)r(jià)似乎是由基本面推動(dòng)的。這些以及房地產(chǎn)市場(chǎng)的其他制度差異可能會(huì)導(dǎo)致歐洲各國(guó)的銀行收益與房地產(chǎn)收益之間存在不同的關(guān)系。</p>

68、<p><b>　　3.方法和樣本</b></p><p><b>　　3.1.方法</b></p><p>　　上述文獻(xiàn)表明，在美國(guó)和亞洲，銀行和銀行業(yè)務(wù)的估值與房地產(chǎn)行業(yè)之間存在著密切關(guān)系。然而，歐盟銀行業(yè)并未對(duì)此問(wèn)題進(jìn)行分析。</p><p>　　為了對(duì)銀行股票收益與房地產(chǎn)市場(chǎng)狀況之間的關(guān)系進(jìn)行分析，我

69、們使用兩個(gè)模型：三因素風(fēng)險(xiǎn)模型（市場(chǎng)風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)和房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)），以及擴(kuò)展的具有房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)因素的Fama-French模型。</p><p><b>　　3.2.樣本</b></p><p>　　我們使用每日和每月的收益。在兩種模型的估計(jì)中使用了三個(gè)時(shí)間期：</p><p>　?。?）總期間 - 由于模型估計(jì)中使用的級(jí)數(shù)的深度，這個(gè)時(shí)間

70、期因國(guó)家而異。這個(gè)時(shí)期從 EU-15索引的開(kāi)始日期到2008年；</p><p>　　（2）2002年至2006年（五年時(shí)間期）的分期；和</p><p>　?。?）1997年至2006年（十年時(shí)間期）的分期。</p><p><b>　　4.結(jié)論</b></p><p>　　鑒于房地產(chǎn)資產(chǎn)在銀行資產(chǎn)負(fù)債表上的比重，本研

71、究的目的是評(píng)估銀行股票收益是否受到房地產(chǎn)市場(chǎng)狀況的系統(tǒng)性影響。研究結(jié)果顯示，銀行股票收益與房地產(chǎn)市場(chǎng)收益之間存在積極的、統(tǒng)計(jì)學(xué)上的顯著的關(guān)系，這表明房地產(chǎn)風(fēng)險(xiǎn)可能是一個(gè)價(jià)格因素。當(dāng)區(qū)域性房地產(chǎn)指數(shù)被作為房地產(chǎn)市場(chǎng)狀況的基準(zhǔn)時(shí)，由于許多歐洲上市銀行擁有大量非住宅不動(dòng)產(chǎn)，銀行業(yè)與房地產(chǎn)行業(yè)之間的這種關(guān)系更為顯著。結(jié)果進(jìn)一步表明，愛(ài)爾蘭、西班牙和英國(guó)在次貸危機(jī)之后，其房地產(chǎn)市場(chǎng)波動(dòng)對(duì)銀行股票收益的影響越來(lái)越大。</p><

72、p>　　我們的研究結(jié)果有兩個(gè)重要的意義。首先，監(jiān)管者、經(jīng)理人和投資者應(yīng)該監(jiān)控銀行對(duì)房地產(chǎn)市場(chǎng)的敞口，就像他們監(jiān)控銀行對(duì)利率的敞口一樣。其次，關(guān)于銀行部門(mén)的事件研究測(cè)試，結(jié)果表明，潛在的收益生成模型應(yīng)該包含一個(gè)額外的風(fēng)險(xiǎn)因素：房地產(chǎn)。最后，房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)應(yīng)與市場(chǎng)風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)結(jié)合起來(lái)，以估算資本成本，評(píng)估銀行績(jī)效。</p><p>　　在本研究中，我們研究了15個(gè)歐洲國(guó)家銀行業(yè)指數(shù)的敏感性。在相關(guān)的工作文件中