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Another Look at the Asymmetric REIT-Beta Puzzle

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Author Info

  • Kevin C.H. Chiang

    ()
    (University of Alaska Fairbanks, Fairbanks, AK 99775)

  • Ming-Long Lee

    ()
    (National Yulin University of Science and Technology, Touliu, Yulin, Taiwan 640)

  • Craig H. Wisen

    ()
    (University of Alaska Fairbanks, Fairbanks, AK 99775)

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    Abstract

    The diversification benefit provided by real estate investment trusts (REITs) is of great importance to investors, practitioners, and academics. This benefit critically relies upon 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.

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    File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol26n01/02.25_42.pdf
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    Bibliographic Info

    Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

    Volume (Year): 26 (2004)
    Issue (Month): 1 ()
    Pages: 26-42

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    Handle: RePEc:jre:issued:v:26:n:1:2004:p:26-42

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    Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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    Web page: http://www.aresnet.org/

    Order Information:
    Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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