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The Cross-Sectional Determinants of Listed Property Trust (LPT) Returns

Author

Listed:
  • Chyi Lin Lee
  • Jon Robinson
  • Reed
  • Jon Robinson
  • Richard Reed

Abstract

A number of studies have demonstrated the determinants of LPT returns. However, these studies investigated the determinants of LPT returns from various different perspectives. Therefore, the cross-section of expected LPT returns is still a puzzling question. This study contributes to this body of knowledge by examining the determinants of LPT returns in Australia from these various perspectives over 1993-2005. The results reveal that book-to-market ratio, momentum and downside beta provide significant explanatory power to the variations of cross-sectional LPT returns. However, the explanatory power of downside beta has diminished once the cokurtosis of LPTs is controlled. The findings provide additional insights for investors and real estate analysts into LPTs pricing.

Suggested Citation

  • Chyi Lin Lee & Jon Robinson & Reed & Jon Robinson & Richard Reed, 2007. "The Cross-Sectional Determinants of Listed Property Trust (LPT) Returns," ERES eres2007_247, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_247
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-247
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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