Our paper makes two empirical contributions on REITs' asset pricing over three sequential and mutually exclusive time periods. The first yields the beta estimates of (i) assets, (ii) growth options and (iii) assets-in-place, embedded in the valuations of REITs. We develop a new approach to...

Are REITs income stocks, only? Following Myers (1977) and Bernardo et al. (2007), we examine empirically REITs' unlevered betas, betas of growth options, betas of assets-in-lace and the difference between the latter two in detail for 1983-2012, and also for three sequential, distinct, than those...

In this paper, I examine the five-factor model in 23 developed stock markets. Using the firm level data from July 1992 to December 2014, I form the 25 size-book to market, the 25 size-gross profitability (GP), and the 25 size-investment (Inv) portfolios. I use three factor, four factor and five...

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...