1 Department of Finance, Copenhagen Business School2 Goethe-Universität Frankfurt am Main3 Universität Regensburg
Fact or Fiction?
Executive Summary. This paper analyzes the relation between demographic structure and real asset returns on Treasury bills, bonds, and stocks for the G7 countries (United States, Canada, Japan, Italy, France, the United Kingdom, and Germany). A macroeconomic multifactor model is used to examine a variety of different demographic factors from 1951 to 2002. There was no robust relationship found between shocks in demographic variables and asset returns in the framework of these models, which suggests that asset meltdown is rather fiction than fact.
Journal of Real Estate Portfolio Management, 2011, Vol 17, Issue 1, p. 27-38
TREASURY bills; GROUP of Seven countries; REAL property -- Sales & prices; REGRESSION analysis; MACROECONOMICS; DEMOGRAPHIC change