Real Estate Risk in Equity Returns
“We document that a real estate factor can explain much of the underlying risk inherent in the Fama-French size- and value-factors.”
AssetEquities
StrategyValue investingmacro signals
TechniqueLinear factor model
GeographyEurope
Also stated: Fundamentals, Macro, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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