Real Estate Investment Trust, factor analysis, return generating factors, principal component analysis, independent component analysis

Colin, Lizieri, Stephen, Satchell and Qi, Zhang (2007) The underlying return-generating factors for REIT returns: An application of independent component analysis. Real Estate Economics, 35 (4). pp. 569-598. ISSN 1080-8620 (Print), 1540-6229 (Online) (doi:https://doi.org/10.1111/j.1540-6229.2007.00201.x)

size premium, value premium, style investment, macro factors

Zhang, Qi J., Hopkins, Peter, Satchell, Stephen and Schwob, Robert (2009) The link between macro-economic factors and style returns. Journal of Asset Management, 10 (5). pp. 338-355. ISSN 1470-8272 (Print), 1479-179X (Online) (doi:https://doi.org/10.1057/jam.2009.32)