Another Look at the Asymmetric REIT-Beta Puzzle
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.
Volume (Year): 26 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
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|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:26:n:1:2004:p:26-42. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.