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Market conditions, risk, and real estate portfolio returns: Some empirical evidence

Market conditions, risk, and real estate portfolio returns: Some empirical evidence This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was found for any model specification. Second, no changes in beta were found using the benchmark approach. The beta shifted when an up market was defined as a nonrecessionary period; the beta behaved procyclically. However, the subperiod tests indicated that effect was transitory and period specific. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Market conditions, risk, and real estate portfolio returns: Some empirical evidence

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References (24)

Publisher
Springer Journals
Copyright
Copyright
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
DOI
10.1007/BF00219504
Publisher site
See Article on Publisher Site

Abstract

This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was found for any model specification. Second, no changes in beta were found using the benchmark approach. The beta shifted when an up market was defined as a nonrecessionary period; the beta behaved procyclically. However, the subperiod tests indicated that effect was transitory and period specific.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Jul 20, 2004

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