Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED on size, value, profitability, investment momentum premiums within US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine presence, magnitude significance these premiums, along with assessing if are associated higher risk. then employs Auto-regressive distributed lag Error Correction Modeling establish long/short-run crisis during recessionary non-recessionary phases, including COVID-19. Premiums all five factors positive significant. Secondly, in contradiction Efficient Market Hypothesis, find that value portfolios provide superior returns without exposing investors risk while based profitability investment, do tend expose a Thirdly, explanation Fama–French/Carhart (2015/1997), significant evidence fall an uptick crisis. On other hand, rise distress/liquidity crisis, only phases. This is insignificant