Blar i Arbeidsnotater / Working Papers på emneord "linear factor models"
Viser treff 1-1 av 1
-
Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
(Working Papers;19/2011, Working paper, 2011)This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a ...