Another Look at the Asymmetric REIT-Beta Puzzle
Kevin C.H. Chiang
University of Alaska Fairbanks - School of Management (SOM); Louisiana State University, Baton Rouge - Department of Finance
National Yunlin University of Science and Technology
Craig H. Wisen
University of Alaska Fairbanks - School of Management (SOM)
Journal of Real Estate Research, Vol. 26, No. 1, 2004
The diversification benefit provided by real estate investment trusts (REITs) is of great importance to investors, practitioners and academics. This benefit critically relies on 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.
Number of Pages in PDF File: 18
Keywords: real estate investment trust, REIT, diversification, equity, market returns
JEL Classification: R33,C30,C31,C35cC44,C50,C51,C52,C53,D21,D20,D61Accepted Paper Series
Date posted: January 3, 2007
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