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

Author

Listed:
  • Alexandra Krystalogianni
  • Simon Stevenson
  • George A. Matysiak

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.

Suggested Citation

  • Alexandra Krystalogianni & Simon Stevenson & George A. Matysiak, 2007. "Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs," ERES eres2007_291, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_291
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-291
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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