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...

Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is difficult to build a model that links analytically skewness premia to deep structural parameters governing preferences and the distribution of shocks. This paper takes up the...

Purpose Our aim in this study is to investigate the relative importance of the economic policy uncertainty and of the geopolitical risk on U.S. REITs (Real Estate Investment Trusts) returns with a special focus on the different real estate sectors. Design/methodology/approach We use an augmented...