Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index … investment trust (REIT) market from 11 countries over the sample period from 1 June 2008 to 30 April 2021. The main quantile … regression results reveal that a simultaneous dependence structure exists between each REIT market and local stock, global REIT …