Chan, K. C.; Hendershott, Patric H.; Sanders, Anthony B. - In: Real Estate Economics 18 (1990) 4, pp. 431-452
We analyze monthly returns on an equally weighted index of eighteen to twenty-three equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We employ a multifactor Arbitrage Pricing Model using prespecified macroeconomic...