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Downside beta and the cross-sectional determinants of listed property trust returns

Lee, Chyi Lin, Robinson, Jon and Reed, Richard 2008, Downside beta and the cross-sectional determinants of listed property trust returns, Journal of real estate portfolio management, vol. 14, no. 1, January-March, pp. 49-62.

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Title Downside beta and the cross-sectional determinants of listed property trust returns
Author(s) Lee, Chyi Lin
Robinson, Jon
Reed, Richard
Journal name Journal of real estate portfolio management
Volume number 14
Issue number 1
Season January-March
Start page 49
End page 62
Publisher American Real Estate Society
Place of publication Clemson, S.C.
Publication date 2008-01
ISSN 1083-5547
Summary This study examines the importance of downside beta when seeking to explain variations in listed property trust (LPT) returns in Australia between 1993 and 2005. The results reveal that downside beta outperforms conventional beta and provides higher explanatory power to the cross-sectional LPT return variations. The results also indicate that investors only require a premium for downside risk. However, the explanatory power of downside beta has diminished once the co-kurtosis of LPTs is controlled. Interestingly, the results also reveal that by itself downside beta is unable to fully explain returns in line with strong evidence for momentum and book-to-market ratio. The findings provide additional insights for investors and real estate analysts into the pricing of LPTs.
Language eng
Field of Research 120503 Housing Markets, Development, Management
Socio Economic Objective 970112 Expanding Knowledge in Built Environment and Design
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2008, ARES
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021984

Document type: Journal Article
Collections: School of Architecture and Built Environment
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Created: Mon, 18 Jan 2010, 11:02:48 EST