... Group Publishing Limited 2015 Asset pricing Factor model Fama-French Liquidity Real estate equities Asset liquidity G10, G11, G12, G15 Due to its unique characteristics, real estate constitutes a rather illiquid asset as, depending on market cycles, it cannot be converted rapidly...

... 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...