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Another Look at the Asymmetric REIT-Beta Puzzle

18 Pages Posted: 3 Jan 2007  

Kevin C.H. Chiang

University of Alaska Fairbanks - School of Management (SOM); Louisiana State University, Baton Rouge - Department of Finance

Ming-Long Lee

National Yunlin University of Science and Technology

Craig H. Wisen

University of Alaska Fairbanks - School of Management (SOM)

Abstract

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.

Keywords: real estate investment trust, REIT, diversification, equity, market returns

JEL Classification: R33,C30,C31,C35cC44,C50,C51,C52,C53,D21,D20,D61

Suggested Citation

Chiang, Kevin C.H. and Lee, Ming-Long and Wisen, Craig H., Another Look at the Asymmetric REIT-Beta Puzzle. Journal of Real Estate Research, Vol. 26, No. 1, 2004. Available at SSRN: https://ssrn.com/abstract=954776

Kevin C.H. Chiang (Contact Author)

Louisiana State University, Baton Rouge - Department of Finance ( email )

E.J. Ourso College of Business Administration
Baton Rouge, LA 70803
United States
225-753-4978 (Phone)
225-388-6366 (Fax)

University of Alaska Fairbanks - School of Management (SOM) ( email )

P.O. Box 756080
208C Bunnell Building
Fairbanks, AK 99775-0500
United States
907-474-7049 (Phone)
907-474-5219 (Fax)

Ming-Long Lee

National Yunlin University of Science and Technology ( email )

123, University Rd. Sec 3
Touliu, Youlin 640, Yunlin 64002
Taiwan

Craig Hanes Wisen

University of Alaska Fairbanks - School of Management (SOM) ( email )

P.O. Box 756080
Fairbanks, AK 99775-0500
United States

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