Wurstbauer, Daniel, Lang, Stephan, Rothballer, Christoph and Schäfers, Wolfgang (2015) Can Common Risk Factors Explain Infrastructure Equity Returns? Evidence from European Capital Market. Journal of Property Research.
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Abstract
This is the first paper to test the ability of conventional asset pricing models to explain the excess returns of European infrastructure stocks. Specifically, we firstly run the well-known Fama and French three-factor model, including three common stock market factors (market risk, size risk and value risk), and subsequently augment the model with two common bond risk factors (term and default ...
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| Item type: | Article | ||||
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| Date: | 16 April 2015 | ||||
| Additional Information (public): | Published online | ||||
| 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) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS | ||||
| Identification Number: |
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| Keywords: | Infrastructure investments, asset pricing, systematic risk, Fama and French, common risk factors | ||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
| Status: | Published | ||||
| Refereed: | Unknown | ||||
| Created at the University of Regensburg: | Yes | ||||
| Item ID: | 33670 |
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