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 bet...
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2000
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. Conover, Mitchell C. Friday, H. Swint. Howton, Shelly W. 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. 2000 Villanova Faculty Authorship vudl:177114 Real Estate Economics 28(1), 2000, 141- 163. en |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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Conover, Mitchell C. Friday, H. Swint. Howton, Shelly W. |
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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. |
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Conover, Mitchell C. Friday, H. Swint. Howton, Shelly W. |
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Conover, Mitchell C. Friday, H. Swint. Howton, Shelly W. An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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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. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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An analysis of the cross-section of returns for EREITs using a varying risk beta model. |
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analysis of the cross-section of returns for ereits using a varying risk beta model. |
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