Karolyi, G Andrew; Sanders, Anthony B - In: The Journal of Real Estate Finance and Economics 17 (1998) 3, pp. 245-62
We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the...