Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-14
pricing model (CAPM) to investigate whether direct real estate returns compensate for their risk levels. Based on a panel … real estate portfolio performance in the single-factor CAPM model is compared with the national housing markets stock … evaluated by the five-factor CAPM model, which includes the factors of liquidity risk, value risk, time risk, credit-rating risk …