REIT and REOC Systematic Risk Sensitivity
Real Estate Investment Trusts (REITs) and Real Estate Operating Companies (REOCs) seem to have different systematic risk levels even though both invest almost exclusively in real estate related assets. We find business risk to be negatively related to systematic risk, as measured by beta, for REITs, while REOCs? betas are positively related to agency costs. The two groups? betas also show differing sensitivity to real estate property type and regional location. REITs? systematic risk is also sensitive to financial leverage and financing form.
Volume (Year): 26 (2004)
Issue (Month): 3 ()
|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/
|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:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Vinod Chandrashekaran, 1999. "Time-Series Properties and Diversification Benefits of REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 91-112.
- Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
- Terence Khoo & David Hartzell & Martin Hoesli, 1993. "An Investigation of the Change in Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 107-130.
- Allen, Marcus T & Madura, Jeff & Springer, Thomas M, 2000. "REIT Characteristics and the Sensitivity of REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 21(2), pages 141-52, September.
- Damodaran, Aswath & John, Kose & Liu, Crocker H., 1997. "The determinants of organizational form changes: evidence and implications from real estate," Journal of Financial Economics, Elsevier, vol. 45(2), pages 169-192, August.
- Redman, Arnold L & Manakyan, Herman, 1995. "A Multivariate Analysis of REIT Performance by Financial and Real Asset Portfolio Characteristics," The Journal of Real Estate Finance and Economics, Springer, vol. 10(2), pages 169-75, March.
- K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990.
"Risk and Return on Real Estate: Evidence from Equity REITs,"
NBER Working Papers
3311, National Bureau of Economic Research, Inc.
- K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
- Chan, Su Han & Erickson, John & Wang, Ko, 2002. "Real Estate Investment Trusts: Structure: Structure, Performance, and Investment Opportunities," OUP Catalogue, Oxford University Press, number 9780195155341, December.
- Dirk P.M. De Wit, 1997. "Real Estate Diversification Benefits," Journal of Real Estate Research, American Real Estate Society, vol. 14(2), pages 117-136.
- Susanne Ethridge Cannon & Stephen C. Vogt, 1995. "REITs and Their Management: An Analysis of Organizational Structure, Performance, and Management Compensation," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 297-318.
- Miller, Merton H. & Scholes, Myron S., 1978. "Dividends and taxes," Journal of Financial Economics, Elsevier, vol. 6(4), pages 333-364, December.
- Su-Jane Chen & Chengho Hsieh & Timothy W. Vines & Shur-Nuaan Chiou, 1998. "Macroeconomic Variables, Firm-Specific Variables and Returns to REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 269-278.
- Patel, Raman C. & Olsen, Robert A., 1984. "Financial determinants of systematic risk in real estate investment trusts," Journal of Business Research, Elsevier, vol. 12(4), pages 481-491, December.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:26:n:3:2004:p:237-254. 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.