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On the Time‐Series Properties of Real Estate Investment Trust Betas
Author(s) -
Chiang Kevin C.H.,
Lee MingLong,
Wisen Craig H.
Publication year - 2005
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/j.1540-6229.2005.00123.x
Subject(s) - real estate investment trust , economics , real estate , financial economics , equity (law) , econometrics , portfolio , investment (military) , capital asset pricing model , stock market , stock (firearms) , capitalization rate , finance , mechanical engineering , paleontology , horse , politics , political science , law , biology , engineering
The relation between real estate investment trust (REIT) returns and stock market returns is of significant importance to investors, practitioners and academics. The temporal properties of this relationship have a critical impact on the usefulness of REIT risk estimates and portfolio allocations to this asset class. Recent studies have suggested a decline in the market betas of equity real estate investment trusts (EREITs). This study applies a rigorous statistical test of the hypothesis that the market betas of EREITs have remained unchanged during the 1972 through 2002 time period. There is weak evidence of a downward trend in EREIT betas using a single‐factor model; however, the hypothesis is not rejected when using a three‐factor model.
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