Novel Factors in REIT Pricing
This paper investigates the cross-section of U.S. REIT returns from 1980 to 2022 by constructing various asset pricing factors, with a specific focus on Leverage and ICR factors. Despite observing positive long-run returns for most of the constructed long/short factors, the study finds weak evidence...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2023
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| Online Access: | https://hdl.handle.net/1721.1/151553 |