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.
Format: Villanova Faculty Authorship
Language: English
Published: 2000
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