The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs

Timothy W. Vines (), Cheng-Ho Hsieh () and John J. Hatem ()
Additional contact information
Timothy W. Vines: Department of Economics and Finance Louisiana State University at Shreveport Shreveport, Louisiana 71115, http://www.lsus.edu/econfin/
Cheng-Ho Hsieh: Department of Economics and Finance Louisiana State University at Shreveport Shreveport, Louisiana 71115, http://www.lsus.edu/econfin/
John J. Hatem: Department of Finance and Economics Georgia Southern University Landrum Box 8151 Statesboro, Georgia 30460, http://www2.gasou.edu/finecon/index.html

Journal of Real Estate Research, 1994, vol. 9, issue 4, pages 421-430

Abstract: This study explores the impact of systematic risk (beta) and systematic coskewness on EREIT returns. The test uses the Skewness Preference CAPM, which includes the impact of the third moment on returns. The findings are that systematic risk impacts return in the predicted manner. However, there is no evidence that systematic coskewness is a determinant of EREIT return, which is contrary to prior findings using other financial instruments. Also, the problem of multicollinearity noted in earlier tests of the model does not occur herein.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1994
View list of references

Downloads: (external link)
http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol09n04/v09p421.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jre:issued:v:9:n:4:1994:p:421-430

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://aux.zicklin.b ... u/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society
Address: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Series data maintained by JRER Graduate Assistant/Webmaster ().