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Can Common Risk Factors Explain Infrastructure Equity Returns? Evidence from European Capital Market

Wurstbauer, Daniel ; Lang, Stephan ; Rothballer, Christoph ; Schäfers, Wolfgang



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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