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Liquidity and real estate asset pricing: a pan-European study

Scholz, Alexander, Lang, Stephan and Schäfers, Wolfgang (2014) Liquidity and real estate asset pricing: a pan-European study. Journal of European Real Estate Research 7 (1), pp. 59-86.

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Abstract

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series ...

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Item type:Article
Date:2014
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers)
Identification Number:
ValueType
10.1108/JERER-06-2013-0009DOI
Keywords:Liquidity, Asset pricing, European real estate equities, Factor model, Fama-French, Pan-European study
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Item ID:31313
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