Ivanov, Stoyu I. - In: The Journal of Risk Finance 17 (2016) 3, pp. 347-369
Purpose The aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for …. Design/methodology/approach To study 14 REIT ETFs by using monthly and daily Center for Research in Security Prices (CRSP …) data. Capital asset pricing model (CAPM) and Fama–French three-factor model were used to estimate betas in REIT ETFs and …