The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs
This 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.
Volume (Year): 9 (1994)
Issue (Month): 4 ()
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- Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 205-216, June.
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- Liu, Crocker H & Hartzell, David J & Grissom, Terry V, 1992. "The Role of Co-skewness in the Pricing of Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 5(3), pages 299-319, September.
- Barone-Adesi, Giovanni, 1985. "Arbitrage Equilibrium with Skewed Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(03), pages 299-313, September.
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