Cai, Yongpei; Xu, Kuan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-31
Using an extended Fama-French model for REIT returns, we examine how the net impact of the COVID-19 pandemic differs from that of recessions. We find that, as anticipated, recessions have a negative net impact on office and residential REIT returns but that the COVID-19 pandemic has a positive...
