Article1993

An Investigation of the Change in Real Estate Investment Trust Betas

Terence Khoo · David J. Hartzell · Martin Edward Ralph Hoesli

81 citations0/0 files storedReal Estate Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

The betas on equity real estate investment trusts (EREITs) have undergone a structural shift in the past 20 years. We show that this is the result of the lower variability of EREIT returns and argue that the decrease in the standard deviation of EREIT returns can be attributed to the increasing levels of information about EREITs. We find that the number of analysts following the EREITs industry, as measured by IBES, can significantly explain the drop in the standard deviation for most EREITs. This was also found to be the case for another proxy for the level of information—the trading volume of the EREIT index.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 81 citations exist upstream.

References

1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1987Expected stock returns and volatility 1984Differential information and the small firm effect 1992What Does the Stock Market Tell Us About Real Estate Returns?1991Smoothing in appraisal-based returns 1986Diversification Categories in Investment Real Estate 1984Real Estate Investment Funds: Performance and Portfolio Considerations 1982THE NEGLECTED AND SMALL FIRM EFFECTS

Cited by

1996Property shares, appraisals and the stock market: An international perspective 2007Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Market 2005On the Time‐Series Properties of Real Estate Investment Trust Betas 1995Does the REIT Stock Market Resemble the General Stock Market?2016Investor attention and the expected returns of reits 1995The Historical Environment of Real Estate Returns

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.