Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach
用单指数和多指数模型分析房地产投资信托基金的回报，发现不同模型下表现排名差异不大但具体数值可能差别很大，且因高波动性，各基金间表现差异不显著。
This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk‐adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk‐adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically significant.