Please use this identifier to cite or link to this item: https://doi.org/10.1080/09603107.2011.628291
Title: The structure of REIT-beta
Authors: Tsai, I.-C.
Sing, T.F. 
Chen, M.-C.
Ma, T.
Keywords: asymmetry
beta
frequency
REITs
Issue Date: 2012
Source: Tsai, I.-C.,Sing, T.F.,Chen, M.-C.,Ma, T. (2012). The structure of REIT-beta. Applied Financial Economics 22 (10) : 827-836. ScholarBank@NUS Repository. https://doi.org/10.1080/09603107.2011.628291
Abstract: Recent studies have documented an asymmetry in the market-beta of equity Real Estate Investment Trusts (REITs) based on high and low Gross Domestic Product (GDP) growth states, as well as in bull and bear stock markets. The asymmetry has been deemed a puzzle (Chatrath et al., 2000; Chiang et al., 2004); some previous studies explained it by describing the structural changes in REITs market and others included more variables to reduce the effect of asymmetry. What seems to be lacking, however, is a general theoretical explanation. This article provides a theoretical model in which the daily and monthly price series of REITs are separately described to explain the structure of REIT-beta and to solve this puzzle. We find there are four factors and the interaction of those determining the value of estimated beta. The results of previous studies might only be able to observe a few pieces of the nature of REIT-beta. © 2012 Copyright Taylor and Francis Group, LLC.
Source Title: Applied Financial Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46266
ISSN: 09603107
DOI: 10.1080/09603107.2011.628291
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

1
checked on Dec 5, 2017

Page view(s)

92
checked on Dec 8, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.