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

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
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:
ValueType
10.1080/09599916.2016.1169211DOI
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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