 Conditional market beta for REITs: A comparison of modeling techniquesJian Zhou () Economic Modelling, 2013, vol. 30, issue C, 196-204 Abstract: There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample beta estimates and out-of-sample beta forecasts. We apply these methods to U.S. equity REITs. Our results overwhelmingly suggest that the state space model is the best performer. Such a conclusion is supported by different evaluation criteria and robust to different sample splitting. Our findings have direct financial implications. The forecasted betas (preferably through the state space model) can be used in many applications such as estimating the cost of capital for the purpose of capital budgeting involving REITs, identifying equity REIT mispricing, evaluating the performance of managed REIT portfolios, etc. Keywords: Conditional market beta; Modeling techniques; In-sample estimate; Out-of-sample forecast; REITs (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:196-204 DOI: 10.1016/j.econmod.2012.09.030 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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