Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39
, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data … from 2001 to 2020, we examine the presence, magnitude and significance of these premiums, along with assessing if these … premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling …