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Downside systematic risk in Australian listed property trusts

Lee, Chyi Lin, Robinson, Jon and Reed, Richard 2007, Downside systematic risk in Australian listed property trusts, in PRRES 2007 : Proceedings of the 13th Annual Conference of the Pacific Rim Real Estate Society, Pacific Rim Real Estate Society, [Fremantle, W. A.], pp. 1-28.

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Title Downside systematic risk in Australian listed property trusts
Author(s) Lee, Chyi Lin
Robinson, Jon
Reed, Richard
Conference name Pacific Rim Real Estate Society. Conference (13th : 2007 : Fremantle, Western Australia)
Conference location Fremantle, Western Australia
Conference dates 21-24 January 2007
Title of proceedings PRRES 2007 : Proceedings of the 13th Annual Conference of the Pacific Rim Real Estate Society
Editor(s) [Unknown]
Publication date 2007
Conference series Pacific Rim Real Estate Society Conference
Start page 1
End page 28
Publisher Pacific Rim Real Estate Society
Place of publication [Fremantle, W. A.]
Summary Previous studies on systematic risk have demonstrated the link between financial and management structure determinants and systematic risk. However, systematic risk is estimated by assuming return is normally distributed. This assumption is generally rejected for real estate returns. Therefore, downside systematic risk appears as a more sensible risk measure in estimating market-related risk. This study contributes to this body of knowledge by examining the determinants of downside systematic risk in Australian Listed Property Trusts (LPTs) over 1993-2005. The results reveal that systematic risk and downside systematic risk are empirically distinguishable. More specifically, there is limited evidence on the connection between these financial and management structure determinants and systematic risk. However, downside systematic risk is sensitive to leverage and management structure.
Language eng
Field of Research 150205 Investment and Risk Management
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1.1 Full written paper - refereed
Copyright notice ©2007, PRRES
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022276

Document type: Conference Paper
Collections: School of Management and Marketing
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.