Year: 1997
Type: article
Abstract: Two empirical models are used to implement the arbitrage pricing theory: the factor loading model (FLM) and the macrovariable model (MVM). This study compares the ability of these two models to explain real estate returns using equity REIT returns as a proxy. Two tests are performed: a comparison of crosssectional adjusted‐R2's and the Davidson and Mackinnon test. The results show that while the two models perform equally well during the period 1974–1979, the MVM outperforms the FLM over the periods 1980–1985 and 1986–1991. In addition, both models suggest superior financial performance for EREITs relative to other investments in the market during the period 1980–1985.
Source: Real Estate Economics
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2008984385