Our paper makes two empirical contributions on REITs’ asset pricing over three sequential and mutually exclusive time … valuations of REITs. We develop a new approach to estimate the latter two betas and, to our knowledge, provide the first … factors of the Carhart model on REITs’ portfolio returns. In each investigation, we clean out, when needed, the unprecedented …

This study examines evidence of contagion in global REITs returns over 2006–2010 using daily REITs indices for 16 … countries. We apply a correlation coefficient analysis to determine whether between-country REITs return co-movements increase … global REITs returns with univariate country-specific value-at-risks and multivariate between-country contagion. Applying the …

bubbles, most notably in the Mortgage REITs series. There is also visual evidence of a negative bubble in all three series in …