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Keywords: Fama‐MacBeth
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Journal Articles
Journal of European Real Estate Research (2011) 4 (3): 185–224.
Published: 25 October 2011
.... 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...
