An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model

Real Estate Economics

Volumn 28, Issue 1, 2000, Pages 141-163

  Conover, Mitchell C ^a   Friday, H Swint ^b   Howton, Shelly W ^c  

^a UNIVERSITY OF NORTH CAROLINA WILMINGTON   (United States)

^b UNIVERSITY OF SOUTH ALABAMA   (United States)

^c VILLANOVA UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034391361     PISSN: 10808620     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6229.00796     Document Type: Article

References (31)

1. Ambrose, B.W., E. Ancel and M.D. Griffiths. 1992. The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency. AREUEA Journal 20(1): 25-54.
2. Ball, R. 1978. Anomalies between Securities' Yields and Yield Surrogates. Journal of Financial Economics 6: 103-126.
3. Banz, R.W. 1981. The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics 9: 3-18.
4. Basu, S. 1983. The Relationship between Earnings Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence. Journal of Financial Economics 12: 129-156.
5. Bhardwaj, R. and L. Brooks. 1993. Dual Betas from Bull and Bear Markets: Reversal of the Size Effect. Journal of Financial Research 16: 269-283.
6. Colwell, P.F. and H.Y. Park. 1990. Seasonality and Size Effects: The Case of Real Estate Related Investment. Journal of Real Estate Finance and Economics 3(3): 251-259.
7. Fama, E. and K. French. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47: 427-465.
8. Fama, E. and J. MacBeth. 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81: 607-636.
9. Firstenberg, P.M., S.A. Ross and R.C. Zisler. 1988. Real Estate: The Whole Story. Journal of Portfolio Management 14(3).
10. Friday, H.S. and D.R. Peterson. 1997. January Return Seasonality in Real Estate Investment Trusts: Information vs. Tax-Loss Selling Effects. The Journal of Financial Research 20(1): 33-51.
11. Giliberto, S.M. 1990. Equity Real Estate Investment Trust Returns. The Journal of Real Estate Research 5(2): 259-263.
12. Gyourko, J. and D.B. Keim. 1992. What Does the Stock Market Tell Us about REIT Returns? Journal of Real Estate Finance and Economics 20(3): 457-485.
13. Gyourko, J. and E. Nelling. 1996. Systematic Risk and Diversification in the EREIT Market. Real Estate Economics 24(4): 493-515.
14. Howton, S. and D.R. Peterson. 1998. An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model. Financial Review 33(3): 199-212.
15. Jaffe, J., D. Keim and R. Westerfield. 1989. Earnings Yields, Market Values, and Stock Returns. Journal of Finance 44: 135-148.
16. Jagannathan, R. and Z. Wang. 1996. The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance 60: 3-53.
17. Keim, D.B. 1983. Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence. Journal of Financial Economics 12: 13-32.
18. Khoo, T., D. Harzell and M. Hoesli. 1993. An Investigation of the Change in Real Estate Investment Trust Betas. AREUEA Journal 21(2): 107-130.
19. Kothari, S.P., J. Shanken and R. Sloan. 1995. Another Look at the Cross-Section of Expected Stock Returns. Journal of Finance 50: 185-224.
20. Lakonishok, J., A. Shleifer and R. Vishny. 1994. Contrarian Investment, Extrapolation, and Risk. Journal of Finance 49: 1541-1578.
21. Lintner, J. 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics 47: 13-37.
22. Liu, C.H. and J. Mei. 1992. The Predictability of Returns on EREITs and Their Comovement with Other Assets. Journal of Real Estate Finance and Economics 5: 401-418.
23. Merton, R. 1973. An Intertemporal Capital Asset Pricing Model. Econometrica (September): 867-888.
24. Patel, R.C. and R.A. Olsen. 1984. Financial Determinants of Systematic Risk in Real Estate Investment Trusts. Journal of Business Research 12(3): 481-491.
25. Reinganum, M.R. 1981. A New Empirical Perspective on the CAPM. Journal of Financial and Quantitative Analysis 16: 439-462.
26. Ross, S.A. 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory (December): 343-362.
27. Ross, S.A. and R.C. Zisler. 1991. Risk and Return in Real Estate. Journal of Real Estate Finance and Economics 4(2): 175-190.
28. Rozeff, M.S. and W.R. Kinney. 1976. Capital Market Seasonality: The Case of Stock Returns. Journal of Financial Economics 3: 379-402.
29. Sharpe, W.F. 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19: 425-442.
30. Titman, S. and A. Warga. 1986. Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach. AREUEA Journal 14(3): 414-431.
31. Vines, T.W., C. Hsieh and J.J. Hatem. 1994. The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from EREITs. The Journal of Real Estate Research 9(4): 421-429.