The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs
AbstractThis study explores the impact of systematic risk (beta) and systematic coskewness on EREIT returns. The test uses the Skewness Preference CAPM, which includes the impact of the third moment on returns. The findings are that systematic risk impacts return in the predicted manner. However, there is no evidence that systematic coskewness is a determinant of EREIT return, which is contrary to prior findings using other financial instruments. Also, the problem of multicollinearity noted in earlier tests of the model does not occur herein.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 9 (1994)
Issue (Month): 4 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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- Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1-40, December.
- Moreno, David & Rodríguez, Rosa, 2009. "The value of coskewness in mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1664-1676, September.
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