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Keywords: Asset pricing
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Journal Articles
The relative importance of economic policy uncertainty and geopolitical risk on U.S. REITs returns
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Journal of Property Investment & Finance (2024) 42 (6): 576–590.
Published: 03 September 2024
.../methodology/approach We use an augmented Fama-French (1993)’s asset pricing model, including economic policy uncertainty indices (EPU), introduced by Baker et al. (2016), and geopolitical risk indices (GPR) recently developed by Caldara and Iacoviello (2022), to price the potential risk factors...
