risk than equity; their betas against a broad market index average about .65. Decomposing their covariances into principal …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both … macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is …

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We …-sized EREITs are a good investment when default risk premium fluctuates dramatically …

decisions. We employ American REIT data to investigate the effects of internal liquidity risk on REIT excess returns. Our firm …-level results show that internal liquidity risk positively relates to REIT excess returns when controlling for variables possibly … affecting REIT returns. Besides, our results show that internal liquidity risk effects are stronger for REITs with smaller size …

phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain … to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics …