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An Analysis of the Cross Section of Returns for EREITs Using a Varying‐Risk Beta Model
Author(s) -
Conover Mitchell C.,
Friday H. Swint,
Howton Shelly W.
Publication year - 2000
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00796
Subject(s) - economics , capital asset pricing model , beta (programming language) , equity (law) , real estate investment trust , financial economics , econometrics , real estate , monetary economics , finance , computer science , political science , law , programming language
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.