In this paper, our aim is to shed a new light on the analysis of REITs in the presence of time-varying exposures and errors-in-variables (EIV). From different multi-factor asset pricing models including the standard Fama-French-Carhart asset pricing model and the Pastor and Stambaugh model, we...

In this article our main objective is to study simultaneously the influence of three important risk factors on asset returns, namely the return on financial market (proxy for financial wealth), the consumption growth and the return on real estate wealth. The third factor has been surprisingly...

This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four...

A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced...

In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting...