An analysis of the cross-section of returns for EREITs using a varying risk beta model.
A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.
|Main Author:||Conover, Mitchell C.|
|Other Authors:||Friday, H. Swint., Howton, Shelly W.|