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Abstract Obtaining insight in the determinants of investment returns and their volatility has a long tradition in asset pricing modeling. For real estate investment trusts (REITs), the results have been mixed, with no clear consensus emerging. We apply the Bayesian model averaging method to let the data select the most robust indicators.
As a journalist, you can create a free Muck Rack account to customize your profile, list your contact preferences, and upload a portfolio of your best work.