Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs

Alexandra Krystalogianni, Simon Stevenson and George A. Matysiak

ERES from European Real Estate Society (ERES)

Abstract: The purpose of this paper is to examine the stability of the beta coefficient for US equity REITs over bull and bear market conditions. In particular, we assess whether and to what extent the implied relationship between beta and returns can be established in up and down market conditions using weekly and monthly US equity REITs returns under different model specifications. Both the equity REITs index and US stock market indices are used as benchmarks. Our results bear significant investment implications for the accurate measurement of US equity REITs risk.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2007-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2007_291

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