This paper examines the information content of net income and cash flows for hotel and tourism industry and department store industry in Taiwan. The National Association of Real Estate Investment Trust (NATEIT) has suggested that Net Income is a misleading measure of operating performance for income-producing real estate operating companies. They assert that historical cost based depreciation is inappropriate for income-producing real estate because it is not correlated with changes in the value of those real estates. Thus, the NAREIT has promoted Funds From Operations (FFO) as a supplemental measure of operating performance. FFO is calculated as net income adding depreciation expense and excluding realized gain or loss from the sale of properties. Like the REITs, the hotel and department stores industry hold and operate income-producing real estate. We test the NAREIT proposal that FFO is a more informative measure for real estate operating companies by doing an empirical analysis for hotel industry and department store industry. The results suggest that although FFO is associated with stock market performance, it is not relatively superior to Net Income or incrementally relevant beyond Net Income. Furthermore, results on testing of individual components in deriving FFO from Net Income show that both depreciation expenses and gain or loss from sale of properties is not associated with stock price performance. This indicates that FFO excludes non-value relevant accounting data. Therefore, the test results show little evidence in supporting NAREIT¡¦s claim that FFO is a more informative measure for real estate operating companies. Although we do not have strong evidence to indicate that FFO is a better performance measure than Net Income, it is still a value relevant information in determining the value of income-producing real estate managing companies. The recent passed Taiwan Real Estate Securitization Act provides investors a new channel to invest in income-producing real estate. While it is not likely that FFO will replace Net Income as the main performance measure of the securities under Taiwan Real Estate Securitization Act, FFO could provide investors helpful information in determining the value of these income-producing real estate securities.

The securitization regulations of the real estate were announced and implemented on July 23, 2003. These improve the mobility of real estate in Taiwan. There are two kinds of forms, the investment trust of real estate (REITs) and real estate assets trust (REATs). U.S.A is the. most developed country for REITs, and the experience in Japan can give us some important reference. This research hopes with discussion and analysis of some cases of our country and then consults the real estate securitization systems of U.S.A., Japan, Hong Kong, etc.; one can put forward the view and suggestion on the influence that the financial institution operates on the securitization of the real estate. In the securitization operation course of the real estate , manage the rule etc. in decree including Trust Law , trust business law , bank law and trust and investment corporation involved . The securitization can be assigned to enterprise's financial securitization and securitization of the assets, and the assets securitization can be divided for securitization and securitization of the real estate of financial assets. The main purpose includes promoting the effective use of the real estate, promote the effective use of the fund, improve and raise the environmental quality of the essence, prevent the land resource from to control, prevent land speculation from, perfect the market function, disperse the investment risk, solving the problem of financing for the financial group, large-scale production of reaching the real estate and managing. Its characteristic, for circulation, cashing, fairness, specialized, disperses the risk. The main difference of REITs and REATs is that there is fund and securitization with REITs first, then invest in the real estate and relevant right, but REATs is to enable assets possessors to obtain the fund through the securitization, reduce the real estate and hold the quantity. The securitization of the real estate originated from U.S.A., was the place where the whole world develops REITs earliest, legal system is complete, the diversification of the goods. Till the end of January of 2006, there are listing REITs 198 Companies in all, total market value is 358,400 million dollars, the rights and interests type have absolute predominance. The Japanese real estate securitization was implemented formally in November of 2000, 32 are listed till March of 2006, the total about 3.26 trillion days of market value round. Hong Kong REITs market just belonged to the starting stage, own 3 in common begin to merchandize till the end of March of 2006, it up to 23,500 million Hongkong dollars to raise the scale of the money, yet there is large one and will be listed on Hong Kong soon in the reservation, Hong Kong will become the second largest REITs market in Asia, is second only to Japan. And the investment trust system of real estate of our country consults U.S.A. mainly, the assets trust of the real estate draws lessons from Japan. Till the end of December of the 94th year of the Republic of China, already there are securitization goods of 10 pieces of real estate that have checked and approve to issue at home, among them 7 departments regard REATs as the structure, 3 departments issue and are listed by way of REITs. Domestic the real estate securitization to last only more than two years, its still some subjects in the course of decree clause and operation deserve the discussion , including REITs is it issue , REITs business transaction ,etc. agreement of amount of money standardize stipulate , pluralistic issue of source that REITs mark of standard ,etc. to add to. Implementation of the securitization of the real estate, it influences the aspect to relevant industry extremely widely, cause the influence analogous to the degree on the traditional business of the financial institution. The securitization of the real estate has changed the way in which the fund raises of the past, has also produced the change to the form of operation and administration of the real estate market. And the influence on the business of financial institution, in terms of banking, it is served as and is commissioned the organization that there are its positive benefits, investment tool increase , underwriting , self-operation , brokerage of marketable securities , develop investment bank , reverse side influence for storing original , loan business reduce. From the angle of the securities business, its role's function is roughly consigned to roles of functions , person who makes city , serving as financial advisor , the mobility of the financial goods fixing the price and designing , secondary market , educational investor ,etc.. From the angle of the insurance, role that can serve as it, take on original organization, investor, trust business, real estate management organization, credit strengthen insurer, etc. role. But in the course of securitization operation of the real estate, there must also be good control systems, guarantee that the relevant interested party's rights and interests are not injured. Control the system , is divided into three kinds , such as inside control system , external finance managing , financial market's own self-containment ,etc. on the whole . The securitization market of the real estate will step into the stage growing up fast, will grow up the space very big in the future, will attract more investor's input, in order to ensure investor's rights and interests, the relevant mechanism, with should be set up to form a complete set as quickly as possible, give investors more reeducation, the construction of the information platform of investment, every trade agreement melts simple and easily and makes clear etc.. The developing real estate securitization will be revised open soon; the competent authority should bear and verify the heavy responsibility. The innovation ability of the financial institution will also face the test , a piece of a large amount of real estate securitization goods coming one after another, how the financial institution weeds out the old and brings forth the new, obtains to investors and favors, it is a decisive key of the future. The domestic efforts in this respect of financial institution still remain to strengthen. The development of the securitization of the real estate will move towards the internationalization too unavoidably, integrate with the international capital market, should be adjusted too while managing the norm. Future, real estate securitization apply city newer, public construction, non-performing assets, etc. to, the operation course is quite professional, tedious, every financial institution should train every qualified personnel in a specific field actively, develop the administrative system of the assets, set up and perfect the inside control system, and set up and specialize in the department to promote the securitization business of the real estate.

Evaluation of the real price for financial assets has been an important issue. This thesis used four approaches, namely free cash flow method, dividend discount method, C.R.R Binomial Numerical Analysis of real-option theory and capital-budgeting techniques, to evaluate the real value of REITs in Taiwan. Fubon No.1, Cathy No.1, Shin Kong No.1 are chosen as cases to study in this thesis. This thesis analyzes their financial statements and historical data to estimate the parameters in those models and compute the real price of REITs. Our empirical results show that the real prices estimated from the free cash flow approach are higher than market prices by 30%. The real prices from the dividend discount method are higher than average market price by 300%.The real prices from the third approach, present value method, are higher than market prices by 10%. After considering the opportunities managers hold by the real-option approach, the real prices are higher than the market value by 200%. These results suggested the current prices of REITs in Taiwan are undervalued. It appears that anchoring tendency might be an explanation that prices of REITs in Taiwan are fixed in certain levels.

With the years ahead promising few certainties, limited growth and challenges from every direction to the investment assumptions of old, commercial real estate is taking on new relevance. Both listed and unlisted commercial real estate investments have come of age. This thesis will look at the opportunities which direct property and REITs offer to investors, and consider the wide-ranging contribution the sector makes to society and the entire economy. The dissertation consists of a general introduction and three independent but relevant chapters to deeply analyze the Spanish and the Chinese cross-border real estate investment issues from diversified perspectives. The thesis involves both listed and unlisted real estate questions that are unexplained well in existing literature yet. The general introduction broadly presents a big picture of the globe, the Spanish, and the Chinese real estate investment environments and status, respectively. Also, the research background and significance, as well as the theoretical foundation for this study and methodologies adopted for each chapter are lined out here. Chapter 1 aims to figure out those potential determinants for international capital flow towards the Spanish unlisted real estate and construction sectors. By applying the Stock-adjustment model developed by William H. Branson in 1968, and via the Vector Autoregression (VAR), Vector Error Correction Model (VECM), as well as the Pooled Engle and Granger Least Square (Pooled-EGLS) regression method, the empirical results demonstrated that the Spanish GDP growth rate, the M3 money supply, housing prices, country risk, as well as interest rates have a strong correlation with foreign real estate capital flow towards the Spanish property sector. Besides, cross-border capital flows into the Spanish construction sector is also estimated by utilizing the same indicators for real estate study. But less evidence is found through the same pattern. Chapter 2 focuses on the analyses of risk and returns relationship far the Spanish REITs. The celebrated Fama and French Three-Factor (FF3) model developed by Eugene Fama and Kenneth French in 1993 is applied in this case. Based on the Autoregressive Distributed Lag Model (ARDL), the results indicate that the Spanish REITs yields can be explained well by the Market, Size, and Value three standard Fama-French factors, which are in line with the previous research on common shares. By comparison purposes, the Carhart four factors model that expanded from the FF3 model also employed. However, the momentum indicator is not significant in this case. Chapter 3 analyzes what drivers that likely drive the Chinese real estate capital outflows to the main European cities. This article adopts the Gravity Model of trade to do the research, which has been extensively utilizing far FDI studies. Due to the zero-investment issue that exists during the sample period, the Heckman model is utilized to avoid the sample selection bias. Both Maximum Likelihood and Two-Step regression methods are run but paying attention to the results from the ML method. The first-step regression results indicating that push factors such as China's foreign exchange reserves and the Chinese government investment policy (Belt & Road lnitiative), as well as a set of pull factors including the host cities inflation, real estate transparency, housing prices index, and the total resident population, affecting the probability that China sends its real estate capital to the recipient cities. For the gravity model that corrected by the lnverse Mills Ration, the second-step regression results tell that only the Chinese GDP affects the real estate capital outflows in the destinations in this case.

美國次級房貸市場快速信用擴張，解釋了何以美國次級房貸市場違約率快速上升、房價的泡沫化。而販賣次級房貸相關商品的金融界機構及所產生的道德危機，就是造成此次次級房貸危機的犯罪者。本研究主要目的之ㄧ，就是將對於美國次級房貸市場如何發展起來、次級房貸危機的起因與主因、及其對美國與其他國家的影響進行了詳細的闡述。 　　而實證部份，採用多元迴歸分析，分別以美國抵押型不動產投資信託基金（REITs）與台灣發行之八檔上市上櫃不動產投資信託基金為研究對象，並利用房屋貸款成長率與GDP成長率之差額作為衡量房屋市場信用擴張程度及房貸違約率兩變數來探討其是否會反應在美國與台灣REITs市場。結果發現不管是美國抵押型REITs或是台灣的權益型REITs的風險溢酬皆沒有充分反應房貸信用擴張及房貸違約率所造成的影響，亦即兩者的風險溢酬皆有被低估的現象。而不管是美國次貸風暴或是實證結果皆可以發現市場上存在訊息不對稱的現象。 / The rapid expansion in the supply of mortgages driven by disintermediation explains a large fraction of recent U.S. house price appreciation and subsequent mortgage defaults. And the moral hazard on behalf of originators selling mortgages is a main culprit for the U.S. mortgage default crisis. The first goal of this study is to explain what is subprime mortgage and investgate the causes of subprime mortgage crsis. And also show how this crsis affect this world. This study uses the U.S. Mortgage Real Estate Investment Trusts and Equity Real Estate Investment Trusts in Taiwan as empirical objects, and intends to understand how the credit expansion in house mortgage market and delinquency rates impact the risk premium of the Real Estate Investment Trusts. The result is both variables are not significantly positive effect on the risk premium of the Real Estate Investment Trusts in U.S. and Taiwan. And no matter the subprime mortgage crsis or the empirical results, we can explain these phenomenons by”Asymmetric information”.

The objective of this thesis is to determine the performance of Dutch REITs and liquidity aspects during recessions and economic upswings as well as correlation with other asset classes to gain further knowledge in the field ofreal estate investment and asset performance during certain time periods. This is achieved through a quantitative analysis of historical daily returns, standard deviation and transaction volume of shares regarding REITs and other assets that usually pertain to an investor’s portfolio. The analysis covers the time-period just prior to the global financial crisis up until the beginning of the financial crisis caused by Covid-19. Analyzed data display some correlation between REITs and other assets. However, the data still implies some diversification benefits ofincorporating REITs in a portfolio during all economic states through the time periods with both the objective tominimize risk i.e. standard deviation, and to maximize return. The liquidity results on offset-time efficiency is comparable with other assets stock, which suggests that REITs are as liquid as other stock and thus is more liquid than direct real estate investments. In conclusion the data does support some diversification benefits of including Dutch REITs in a Netherlands-based investment portfolio. However, to what extent can not be determined, in part because of individual investors preferences, beliefs, and behavior, but also because of additional factors, such as dividends, that affect the value of REITs to an actual investor. / Syftet med arbetet är att fastställa Nederländska REITs prestanda och likviditet under lågkonjunkturer och ekonomiska uppgångar samt korrelationen med andra tillgångsklasser för att få ytterligare kunskap inom området fastighetsinvesteringar och investeringstillgångars prestanda under vissa tidsperioder. Detta uppnås genom en kvantitativ analys av historisk marknadsutveckling, standardavvikelse samt transaktionsvolym av antalet aktier. Det är REITs tillsammans med tillgångar som vanligtvis hänför sig till en investerares portfölj som har undersökts. Analysen behandlar ett tidsspann från perioden strax innan finanskrisen 2008 fram till början av den finansiellakrisen orsakad av Covid-19. Analyserad data visar viss korrelation mellan REITs och de andra tillgångarna, men innebär fortfarande vissa fördelar med att inkludera REITs i en portfölj under samtliga ekonomiska tillstånd under samtliga tidsperioderna. Både avseende syftet att minimera risken, som i detta fall utgörs av standardavvikelse,samt för att maximera avkastningen. Likviditetsstudien visar att avyttringshastigheten är jämförbar med andra aktietillgångar, vilket antyder att REIT är lika likvida som andra aktier och därmed är mer likvida än direkta fastighetsinvesteringar. Sammanfattningsvis stödjer resultaten vissa diversifikationsfördelar med att inkludera Nederländska REITs i en Nederländskt baserad investeringsportfölj. Men i vilken utsträckning kan inte fastställas,delvis på grund av enskilda investerares preferenser, övertygelser och beteende, men också på grund av ytterligare faktorer, såsom utdelning, som påverkar värdet av REIT till en faktisk investerare.

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This licentiate thesis is a collection of two essays that utilize time-series econometric methods in real estate finance. The first essay applies econometric modelling on Real Estate Investment Trust (REIT) index returns, focusing on estimating the effect of the quantitative easing (QE) and quantitative tightening (QT) programmes on U.S. equity REIT index returns, while controlling for several other important macro-financial factors. The second essay instead focuses on forecasting U.S. equity REIT index returns empirically, where the performance of a traditional econometric model (ARIMA) is compared to a modern state-of-the-art deep learning-based model (LSTM). Digitalization, which encompasses a broad range of technological advancements, is the main factor that we study for its impact on REIT investments. One perspective on the impact of digitalization on REITs is its effect on inflation. Digitalization has the potential to increase productivity and reduce costs, which could help to keep inflation low. This, in turn, has in the recent decades provided a supportive environment for REIT investments through lower interest rates, which we partly investigate in the first essay. Another perspective is that digitalization has not only led, but is also expected to lead, to significant innovations in the field of artificial intelligence (AI) and machine learning (ML), including deep learning (DL), which is a subset of ML. Many researchers and market practitioners are currently working to develop models that can use large amounts of data to make better forecasts and investment decisions. If successful, these models could significantly improve the performance of REIT investments. Can DL models be trained to make better forecasts for making investments? This is a question we ask ourselves in the second essay. The study of digitalization and its effects on inflation has been a growing area of interest in recent years, with researchers exploring the potential impact of technological advancements on macroeconomic trends, which founded the base to our studies. However, recent developments in the global economy have shifted the focus of this research, as inflation levels have unexpectedly risen from what was previously believed to be a low and stable environment. As a result, the setting and framework for our research on digitalization and inflation have been significantly altered, as we have tried to adapt to this changing landscape. / Denna licentiatuppsats är en samling av två forskningsartiklar som använder tidsserieekonometriska metoder inom finansiell ekonomi med fokus på fastighetsaktier. Den första artikeln tillämpar ekonometriska metoder på tidsseriedata för amerikanska börsnoterade fastighetsfonder, Real Estate Investment Trusts (REITs), med fokus på att uppskatta effekten av icke-konventionella penningpolitiska aktiviteter (kvantitativa lättnader och kvantitativ åtstramning) på avkastningsserierna, samtidigt som vi kontrollerar för andra viktiga makroekonomiska och finansiella variabler. Den andra artikeln fokuserar istället på att bygga modeller för prognoser av avkastningen på avkastningsserierna empiriskt, där prognosfelen för en traditionell ekonometrisk modell (ARIMA) jämförs med en modern djupinlärningsbaserad modell (LSTM). Digitalisering, som omfattar ett brett spektrum av tekniska framsteg, är den viktigaste faktorn som vi studerar för dess inverkan på REIT-investeringar. Ett perspektiv på digitaliseringens inverkan på REITs är dess effekt på inflationen. Digitalisering har potential att öka produktiviteten och minska kostnaderna, vilket kan bidra till att hålla inflationen låg. Detta har i sin tur under de senaste decennierna varit fördelaktigt för REIT-investeringar genom lägre räntor, vilket vi delvis undersöker i den första uppsatsen. Ett annat perspektiv är att digitaliseringen inte bara har lett, utan också förväntas leda, till betydande innovationer inom området artificiell intelligens (AI) och maskininlärning (ML), inklusive djupinlärning (DL), som är en delmängd av ML. Många forskare och professionella aktörer arbetar just nu med att utveckla modeller som kan använda stora mängder data för att göra bättre prognoser och investeringsbeslut. Om de lyckas kan dessa modeller förbättra resultatet för REITinvesteringar avsevärt. Kan DL-modeller tränas för att förbättra möjligheterna till att göra mer tillförlitliga prognoser och därmed öka chanserna till att göra mer lönsamma investeringar? Det är en fråga vi ställer oss i den andra artikeln. Digitalisering och dess effekter på inflationen har varit ett starkt växande fält inom såväl forskning som praktisk tillämpning de senaste åren, med forskare som undersöker den potentiella inverkan av tekniska framsteg på makroekonomiska trender, vilket har legat till grund för våra studier. Den senaste tidens utveckling i den globala ekonomin har dock flyttat fokus för denna forskning, eftersom inflationsnivåerna oväntat har stigit från vad som tidigare ansågs vara en låg och stabil miljö. Som ett resultat har miljön och ramarna för vår forskning om digitalisering och inflation ändrats avsevärt, eftersom vi har försökt anpassa oss till detta föränderliga landskap. / <p>QC 20231201</p>

不動產證券化除了「小口化」不動產，讓投資人也能參與金額龐大的不動產投資外，其價格的穩定亦發揮保值效果。除了使一般社會大眾能穩定獲利，退休的老年人口的資金，亦有一較安全的出口。不動產證券化背後所隱藏的政策效果，則是避免財團壟斷不動產資源，所以政府在政策上應當鼓勵不動產證券化之發展。有鑑於此，有關不動產證券化，在政策上則應採開放的態度，立法上應較大幅度之鬆綁，審查流程更應採便民的措施，甚至准許國外的REITs在台發行。 然不動產投資畢竟金額龐大且專業，一般社會大眾無法解其堂奧，政府當然有責任在開放的同時，加諸安全與規避經營風險的立法與監督，俾能不動產證券化健全的進行。本研究即針對目前國內不動產證券化的立法上與審查程序上之開創性與不合理性，提出看法與建議。如REITs發行時，不動產估價之公平性、成立SPC 制、允許REITs的增資與合併、開放開發型的REITs等均論述其優、劣，並作成建議。而政府也應採開放的態度，既啟動不動產證券化的列車，即不應半途再加諸太多的限制，造成不動產證券化發展不順暢。以目前台灣已發行量觀之，投資人要發揮不動產證券化之避險與穩定獲利之功能，分散財團不動產持有比例、加速都市更新速度，實在是能量不足。 期盼主管官署，放眼未來，取國外證券化發展之長處，重新本著與國際接軌之精神，修訂不動產證券化法及其相關法令與新審查辦法。唯有法令鬆綁，不動產證券化良效始能反應在我國股市與不動產市場，讓社會大眾均能參與不動產投資與分享不動產開發之利益。新增加的金融商品才得以循序漸進，分散社會資金的投資風險。 / REITs enables individual investors to participate in the large real estate investment through securitization. There are some benefits of REITs investment such as the stability of its price, also highly probability of capital gain. REITs can not only generate stable income for the public but also provides a safer investment tool for pension fund. The government policy should encourage the securitization of real estate in order to avoid the financial group monopolizing the real estate resources. Therefore, government supervising bureau should be more open-minded for deregulation and even allows overseas REITs to emit in Taiwan. Nevertheless, due to its huge amount and specialization, real estate investment seems not tangible for the majority of social populace. The government certainly has the responsibility to provide a safer environment through regulation and supervision in order to enhance the integrity of securitization development. This research aims at the development of REITs in Taiwan, and proposes some views and suggestions. For example when REITs is being released, the fairness of its valuation、SPC system、increasing capital、 merging, and regulation innovation of development REITs. The government should be more open-minded to avert balk the development of REITs because of too much limitations. The volume of present REITs circulation in Taiwan is still not large enough to accelerate city renewal、diversify real estate holding by the tycoons, and stable the profit for the investors. Hoping the authorities can have great visions and absorb the knowledge of securitization from other countries to scheme more mature regulations, and take broader views. Only if the deregulation can not only enable everyone participate and benefit from real estate securitization but diversify investment risk.

La thèse comporte trois parties, dont l’objet d’étude est l’immobilier soit en s’intéressant directement au marché immobilier résidentiel parisien, soit indirectement en analysant les REITs dont l’actif sous-jacent est l’immobilier. La première partie porte sur l’examen des facteurs macroéconomiques et financiers qui ont influencé, au cours de la période 1996-2010, les prix résidentiels à Paris en appliquant un modèle VAR (vector autoregressive). Dans la deuxième partie, nous analysons, au cours de la période 2007-2012, l’interaction entre les rendements des REITS et les facteurs macroéconomiques/financiers dans dix pays développés (les Etats-Unis, le Canada, l’Australie, l’Europe, la Zone Euro, le Japon, Hong-Kong, la France, le Royaume-Uni et l’Allemagne) en appliquant un modèle VAR. Les REITs investissent sur l’immobilier, mais ils sont cotés sur un marché boursier. Par conséquent, ils héritent des caractéristiques à la fois de l’immobilier et des actions. Ce caractère hybride des REITs nous conduit à nous interroger sur leur risque et le rôle qu’ils peuvent jouer dans la gestion de portefeuille. C’est pourquoi dans la troisième partie nous examinons, au cours de la période 2001-2012, l’effet des deux composantes du risque (bêta et le risque idiosyncratique) et certains facteurs spécifiques aux REITs (taille, rapport Actif Net Comptable / valeur de marché et la mesure d’illiquidité) sur les rendements des REITs européens (la France, l’Allemagne, le Royaume-Uni, les Pays-Bas et l’Italie) en appliquant le modèle à trois facteurs de Fama et French et la méthodologie de Fama et MacBeth. / The thesis consists of three parts, whose purpose is the real estate market either being interested directly in the residential real estate market in Paris, or indirectly by analyzing REITs, whose underlying asset is the real estate. In the first part entitled “Which Macroeconomics and Financial Factors Affect Real Estate Prices in Paris”, we employ a vector autoregressive (VAR) model in order to examine, during the period 1996-2010, the relation between residential prices in Paris and several macroeconomic/financial factors. In the second part entitled “How Legislation, REIT System and Taxes Influence REITs Returns Sensitivity to Macroeconomic and Financial Factors? An International Perspective”, we analyze, by applying a VAR model, during the period 2007-2012, dynamic interactions among REITs returns and macroeconomic factors for ten developed countries (the United States, Canada, Australia, Europe, Eurozone, Japan, Hong Kong, France, Britain and Germany). REITs invest in real estate and they are publicly traded. Thus they inherit the characteristics of both real estate and stocks. This hybrid nature of REITs reveals the importance of their risk and the role they can play in portfolio management. Therefore, in the third part entitled “Cross-Sectional Expected European REITs Returns : does Volatility Matters ?”, we investigate, during the period 2001-2012, the effect of the two components of risk (beta and idiosyncratic risk) and some specific factors of REITs (size, Net Asset Value to Market Value and illiquidity measure) on European REITs returns (France, Germany, the UK, the Netherlands and Italy) by applying the Fama and French model and cross-sectional regressions.