A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.
Copyright © 2000 Wiley Blackwell. This article first appeared in Real Estate Economics 28, no. 1 (Spring 2000): 141-63. doi:10.1111/1540-6229.00796.
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Conover, Mitchell C., H. Swint Friday, and Shelly W. Howton. "An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model." Real Estate Economics 28, no. 1 (Spring 2000): 141-63. doi:10.1111/1540-6229.00796.