Work

Another Look at the Asymmetric REIT-Beta Puzzle

Year: 2004

Type: article

Abstract: The diversification benefit provided by real estate investment trusts (REITs) is of great importance to investors, practitioners and academics. This benefit critically relies on the correlation properties between REIT returns and the factors used to explain REIT returns. Recent studies have documented an asymmetry of the market-beta of equity REITs based on high and low GDP growth states as well as in positive and negative monthly market excess returns. The asymmetry has been labeled a puzzle because attempts to explain the asymmetry have failed and because it persists after controlling for a number of known effects. This study helps to resolve this puzzle by including the Fama-French (1993) book-to-market factor into a model that controls for size and market returns.

Source: Journal of Real Estate Research

DOI: 10.1080/10835547.2004.12091131

Authors: Kevin Chiang, Ming-Long Lee, Craig Wisen

Institutions: Louisiana State University, University of Alaska Fairbanks, National Yunlin University of Science and Technology

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1541163771

FWCI: 4.054

Cites: 12

Cited by: 42

Related to: 10