Chen, Su-Jane; Hsieh, Chengho; Vines, Timothy W.; … - In: Journal of Real Estate Research 16 (1998) 3, pp. 269-278
This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited...