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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020
Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, 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...
Persistent link: https://www.econbiz.de/10013545890
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Industrial tail exposure risk and asset price : evidence from US REITs
Song, Jeongseop; Liow, Kim Hiang - In: Real estate economics 51 (2023) 5, pp. 1209-1245
Persistent link: https://www.econbiz.de/10014368743
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Do taxable REIT subsidiary spell risk for REITs? : an empirical examination
Cardona, Juan C. - In: Journal of property investment & finance 34 (2016) 4, pp. 387-406
Persistent link: https://www.econbiz.de/10011595046
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Expected return, time-varying risk, and hedging demand in the US REITs market
Xiao, Zhongyi; Lin, Zhangxi; Li, Siming - In: Journal of management analytics 1 (2014) 1, pp. 78-98
Persistent link: https://www.econbiz.de/10011729405
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The diverging role of the systematic risk factors : evidence from real estate stock markets
Lang, Stephan; Scholz, Alexander - In: Journal of property investment & finance 33 (2015) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10010518727
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The dynamics of risk premium : the case of the Taiwan real estate market
Vishwakarma, Vijay Kumar - In: Journal of risk finance : the convergence of financial … 16 (2015) 4, pp. 463-482
Persistent link: https://www.econbiz.de/10011418217
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Tracking the evolution of idiosyncratic risk and cross-sectional expected returns for US REITs
Cakici, Nusret; Erol, Isil; Tırtıroğlu, Doğan - In: The journal of real estate finance and economics 48 (2014) 3, pp. 415-440
Persistent link: https://www.econbiz.de/10010402358
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Are we overestimating REIT idiosyncratic risk? : analysis of pricing effects and persistence
Abugri, Benjamin Adam; Dutta, Sandip - In: International review of economics & finance : IREF 29 (2014), pp. 249-259
Persistent link: https://www.econbiz.de/10010431425
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Volatilities and momentum returns in real estate investment trusts
Hung, Szu-yin Kathy; Glascock, John Leslie - In: The journal of real estate finance and economics 41 (2010) 2, pp. 126-149
Persistent link: https://www.econbiz.de/10009297681
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Time varying risk premia for real estate investment trusts : a GARCH-M model
Devaney, Michael - In: The quarterly review of economics and finance : journal … 41 (2001) 3, pp. 335-346
Persistent link: https://www.econbiz.de/10001602991