The study provides insight into the pricing of publicly traded European real estate equities. The Fama-French three-factor model, as well as unconditional and conditional Fama-MacBeth regressions are applied to a sample of 275 real estate equities from 16 European countries over the period 1988...

The paper examines the pricing of real estate equities listed in European capital markets from 1983 to 2009. While US equity and listed real estate markets have been thoroughly examined using diverse pricing models, European real estate capital markets have not been scrutinized to a similar...

Drawing from both general finance and real estate literature of asset pricing, the purpose of the current investigation is to examine the firm-specific and macroeconomic determinants of risk-adjusted REIT performance. The paper moreover attempts to evaluate their magnitude and significance both...

Purpose – This study is the first to examine the role of idiosyncratic risk in the pricing of European real estate equities. The capital asset pricing model predicts that in equilibrium, investors should hold the market portfolio. As a result, investors should only be rewarded for carrying...