The traditional modern portfolio model posits that return is a function of beta - the stocks's sensitivity to market movements. However, much research suggests that on an empirical basis this expectation does not hold. Pettengill, Sundaram and Mathur (1995) {PSM} suggest that the problem is that...

This research studies momentum returns in REITs by investigating the cross-sectional relationship between different types of volatilities and asset returns of REITs. We examine asymmetric risk effect in momentum returns with a GARCH-in-mean model and examine the effects of idiosyncratic...

Traditionally, we have assessed firm success relative to a two factor model using say size and a book-to-market ratio. However, recently Novy-Marx (2013) suggests that these measures may simple be a proxy for profitability in firms. The argument is that traditional profitability measures can be...

We examine the diversification properties of holding listed REITs versus listed property companies (LPCs). If holding LPCs in addition to REITs provides excess diversification benefits, this would imply that investors have a larger pool of real estate assets in which to invest. Preliminary...