An Analysis of the Cross Section of Returns for EREITs Using a Varying‐Risk Beta Model
采用双贝塔资产定价模型，研究权益型房地产投资信托基金在牛市和熊市中的横截面收益，发现允许贝塔随市场变化时能解释收益差异，而熊市中规模和账面市值比与收益负相关。
A dual‐beta asset pricing model is employed to examine the cross‐section of realized equity real estate investment trust ( EREIT ) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross‐sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non‐January months. During bear‐market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book‐to‐market ratio are found to be negatively related to returns.