... equities constitute an inherently low degree of underlying asset liquidity. Design/methodology/approach – Following the Fama-French time-series regression approach, the authors extend the conventional asset pricing model by a real estate-specific asset liquidity factor (ALF), using a sample of 244...

... the ownership of CRE, the present paper investigates whether holding CRE entails a significant risk for German non-real-estate companies in terms of asset pricing. A large body of literature uses the accounting item properties, plants and equipment (PPE) as a proxy for real assets and real estate...

... equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European...