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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Bibliographic Details
Main Authors: Conover, Mitchell C., Friday, H. Swint., Howton, Shelly W.
Format: Villanova Faculty Authorship
Published: 2000
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