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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PRRES 2007 : Proceedings of the 13th Annual Conference of the Pacific Rim Real Estate Society
Pacific Rim Real Estate Society Conference
Pacific Rim Real Estate Society
Place of publication
[Fremantle, W. A.]
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.
Field of Research
150205 Investment and Risk Management
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services
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