Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad...

Several hundred factor candidates have been suggested in the literature. We propose a protocol for determining which factor candidates are related to risks and which candidates are related to mean returns. Factor candidates could be related to both risk and returns, to neither, or to one but not...

Several hundred factor candidates have been suggested in the finance literature. We propose a protocol for determining which factor candidates are related to risks and which candidates are related to mean returns. Factor candidates could be related to both risk and returns, to neither, or to one...

We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market...