Ben Ammar, Semir; Eling, Martin - 2013 - This version: 05/07/2013
The risk of infrastructure investments is driven by unique factors that cannot be well described by standard asset … class factor models. We thus create a nine-factor model based on infrastructure-specific risk exposure, i.e., market risk … our model on a large dataset of U.S. infrastructure stocks in different subsectors (utility, telecommunication, and …