The following sections present the data used in the main empirical analysis. Section 4.1 describes the complete set of candidate state variables and the market factor within the ICAPM framework that enter the VAR estimation. These variables are the real estate factor (Section 4.1.1), the three factors of the Fama-French model (Section 4.1.2), and the Petkova factors (Section 4.1.3). Section 4.2 presents the test assets used in the timeseries and cross-sectional analysis of the competing asset pricing models. In this study, I use monthly U.S. data for the period from January 1972 to December 2005; the beginning of the period is set to January 1972 to coincide with the starting point of the real estate index's computation.
KeywordsReal Estate Cash Flow Real Estate Market Real Estate Investment Trust Dividend Yield
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