An Analysis of the Cross Section of Returns for EREITS Using a varying-Risk Beta Model

Topics:
Market Studies,
Real Estate Portfolio Management
Tags:
Analysis,
Bear Market,
Business Operations,
Equity,
Finance,
Financial Services,
Investment,
Real Estate,
Return
Source:
The American Real Estate and Urban Economics Association

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Overview: This paper investigates the relationship between equity REIT returns and beta. No significant is found between returns and beta using a constant beta measured over all return periods. It reveals that during bear market months, there is no significant relationship between beta and returns. Yet, EREIT Size and ERAIT book-to-market value of equity are negatively related to returns during bear markets. Discover other details on this investigation, read on the paper.

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Format: PDF | Size: 1,730KB | Date: Jan 2003 | Pages: 23

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