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

Scholz, Alexander ; Lang, Stephan ; Schäfers, Wolfgang



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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