REIT and REOC Systematic Risk Sensitivity

Natalya Delcoure () and Ross Dickens ()
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Natalya Delcoure: Department of Economics & Finance,Mitchell College of Business, University of South Alabama, Mobile, AL 36688
Ross Dickens: Department of Economics & Finance, Mitchell College of Business, University of South Alabama, Mobile, AL 36688

Journal of Real Estate Research, 2004, vol. 26, issue 3, pages 237-254

Abstract: Real Estate Investment Trusts (REITs) and Real Estate Operating Companies (REOCs) seem to have different systematic risk levels even though both invest almost exclusively in real estate related assets. We find business risk to be negatively related to systematic risk, as measured by beta, for REITs, while REOCs? betas are positively related to agency costs. The two groups? betas also show differing sensitivity to real estate property type and regional location. REITs? systematic risk is also sensitive to financial leverage and financing form.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2004
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