An Investigation of the Change in Real Estate Investment Trust Betas
研究了权益型房地产投资信托（EREITs）贝塔值在过去20年的结构性变化，发现其回报标准差下降与分析师关注度和交易量等市场信息水平提高有关。
The betas on equity real estate investment trusts (EREITs) have undergone a structural shift in the past 20 years. We show that this is the result of the lower variability of EREIT returns and argue that the decrease in the standard deviation of EREIT returns can be attributed to the increasing levels of information about EREITs. We find that the number of analysts following the EREITs industry, as measured by IBES, can significantly explain the drop in the standard deviation for most EREITs. This was also found to be the case for another proxy for the level of information—the trading volume of the EREIT index.