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Another Look at the Asymmetric REIT-Beta Puzzle

Author

Listed:
  • 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)

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.

Suggested Citation

  • Kevin C.H. Chiang & Ming-Long Lee & Craig H. Wisen, 2004. "Another Look at the Asymmetric REIT-Beta Puzzle," Journal of Real Estate Research, American Real Estate Society, vol. 26(1), pages 26-42.
  • Handle: RePEc:jre:issued:v:26:n:1:2004:p:26-42
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche
      [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]
      ," MPRA Paper 59381, University Library of Munich, Germany.
    2. Ming-Chu Chiang & Tien Foo Sing & I-Chun Tsai, 2017. "Spillover Risks in REITs and other Asset Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 579-604, May.
    3. Tien Sing & I-Chun Tsai & Ming-Chi Chen, 2016. "Time-Varying Betas of US REITs from 1972 to 2013," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 50-72, January.
    4. Tien Foo Sing & I-Chun Tsai & Ming-Chi Chen, 2016. "Time-Varying Betas of US REITs from 1972 to 2013," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 50-72, January.
    5. repec:bor:bistre:v:17:y:2017:i:4:p:199-215 is not listed on IDEAS
    6. Minye Zhang & Yongheng Deng, 2008. "REITs Return Behavior and Legal Infrastructure: The 1993 Revenue Reconciliation Act & Inspirations for China's Emerging REITS Market," Working Paper 8532, USC Lusk Center for Real Estate.
    7. Kevin C.H. Chiang & Kirill Kozhevnikov & Ming-Long Lee & Craig H. Wisen, 2006. "REIT Mimicking Portfolio Analysis," International Real Estate Review, Asian Real Estate Society, vol. 9(1), pages 95-111.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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