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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


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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