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Keywords: Capital asset pricing model (CAPM)
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Journal Articles
Applying the Fama and French three-factor model to analyze risk/reward in the Spanish REITs: an ARDL approach
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Journal of European Real Estate Research (2021) 14 (2): 189–208.
Published: 10 June 2021
... the traditional single-index capital asset pricing model (CAPM) and the Carhart four-factor model. The empirical evidence is reasonably consistent with the FF3 model; the values for the market, size and value are highly statistically significant over the analysis period, with 68.7% variation in S-REITs’ returns...
