.... Design/methodology/approach Using a sample of 175 European Equity REITs, this analysis combines numerical ESG scores with the Fama-French model, employing both random and fixed effects methods. It integrates individual REIT data and the HESGL (High ESG Scores Minus Low ESG Scores) factors to assess...

... 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...

... systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results...

.... Rolling Fama‐French regressions are applied to estimate time‐varying loadings on systematic risk factors. Unconditional as well as conditional monthly Fama‐MacBeth regressions are employed to explain cross‐sectional return variations. Findings Systematic risk factors are important drivers of European...