returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the …

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by … ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real … in the local beta will lead to a 4.5% increase in the annual return. Investors can use REITs’ location risk as an …

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional … relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …-return, for a given class of quantifiable-risk. …

hybrid asset class, with returns explained by a rich mix of compensated risk factors plus uncompensated sector risk. He shows … that the same is true for private real estate, but with the additional contribution to risk from misappraisals. It is the …

profit from these effects earn average returns similar to those of the factors, with substantially reduced risk. Betas are …

(though not for the CAPM). There is no pricing evidence for the book-to-market and momentum factors with all characteristics …