On the Time‐Series Properties of Real Estate Investment Trust Betas
研究了1972至2002年间房地产投资信托（REIT）与股票市场回报的关系，发现单因子模型下贝塔有微弱下降趋势，但三因子模型下未确认这一变化。
The relation between real estate investment trust (REIT) returns and stock market returns is of significant importance to investors, practitioners and academics. The temporal properties of this relationship have a critical impact on the usefulness of REIT risk estimates and portfolio allocations to this asset class. Recent studies have suggested a decline in the market betas of equity real estate investment trusts (EREITs). This study applies a rigorous statistical test of the hypothesis that the market betas of EREITs have remained unchanged during the 1972 through 2002 time period. There is weak evidence of a downward trend in EREIT betas using a single‐factor model; however, the hypothesis is not rejected when using a three‐factor model.