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Journal of Real Estate Portfolio Management Volume 18, 2012 - Issue 1
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Research Articles

The Composition of Market Proxy in REITs Risk Premium Estimation

Xiaolong Liu Renmin University of China, Beijing 100872, China
&
Peng Liu Cornell University, Ithaca, NY 14853
Pages 79-98 | Published online: 18 Jun 2020

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  • Bauer, R., M. Cosemans, R. Frehen, and P. Schotman. Efficient Estimation of Firm-specific Betas and its Benefits for Asset Pricing and Portfolio Choice. Working paper. Maastricht University, 2009.
  • Benefield, J., R. Anderson, and L. Zumpano. Does the Composition of the Market Portfolio Matter for Performance Rankings of Post-1986 Equity REITs? Journal of Real Estate Portfolio Management, 2007, 13:3, 191-204. Does the Composition of the Market Portfolio Matter for Performance Rankings of Post-1986 Equity REITs? Journal of Real Estate Portfolio Management 13 191 204
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  • Chatrath, A., Y. Liang, and W. McIntosh. The Asymmetric REIT-beta Puzzle. Journal of Real Estate Portfolio Management, 2000, 6:2, 101-11. The Asymmetric REIT-beta Puzzle Journal of Real Estate Portfolio Management 6 101 11
  • Chiang, K., M. Lee, and C. Wisen. Another Look at the Asymmetric REIT-beta Puzzle. Journal of Real Estate Research, 2004, 26:1, 25-42. Another Look at the Asymmetric REIT-beta Puzzle Journal of Real Estate Research 26 25 42
  • Chiang, K. On the Time Series Properties of Real Estate Investment Trust Betas. Real Estate Economics, 2005, 33:2, 381-96. On the Time Series Properties of Real Estate Investment Trust Betas Real Estate Economics 33 381 96
  • Clayton, J. and G. MacKinnon. The Time-varying Nature of the Link between REIT, Real Estate and Financial Asset Returns. Journal of Real Estate Portfolio Management, 2001, 7:1, 43-54. The Time-varying Nature of the Link between REIT, Real Estate and Financial Asset Returns Journal of Real Estate Portfolio Management 7 43 54
  • Clayton, J. The Relative Importance of Stock, Bond, and Real Estate Factors in Explaining REIT Returns. Journal of Real Estate Finance and Economics, 2003, 27:1, 39-60. The Relative Importance of Stock, Bond, and Real Estate Factors in Explaining REIT Returns Journal of Real Estate Finance and Economics 27 39 60
  • Corgel, J.B. and C. Djoganopoulas. Equity REIT Beta Estimation. Financial Analysts Journal, 2000, 56, 70-79. Equity REIT Beta Estimation Financial Analysts Journal 56 70 79
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  • Ferson, W.E. and C.R. Harvey. Conditioning Variables and the Cross Section of Stock Returns. Journal of Finance, 1999, 54, 1325-60. Conditioning Variables and the Cross Section of Stock Returns Journal of Finance 54 1325 60
  • Geltner, D., B. MacGregor, and G. Schwann. Appraisal Smoothing and Price Discovery in Real Estate Markets. Urban Studies, 2003, 4:5/6, 1047-64. Appraisal Smoothing and Price Discovery in Real Estate Markets Urban Studies 4 1047 64
  • Goldstein, A. and E. Nelling. REITs Return Behavior in Advancing and Declining Stock Markets. Real Estate Finance, 1999, 15, 347-72. REITs Return Behavior in Advancing and Declining Stock Markets Real Estate Finance 15 347 72
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  • Lee, M., M. Lee, and K. Chiang. Real Estate Risk Exposure of Equity Real Estate Investment Trusts. Journal of Real Estate Finance and Economics, 2008, 36, 165-81. Real Estate Risk Exposure of Equity Real Estate Investment Trusts Journal of Real Estate Finance and Economics 36 165 81
  • Liang, Y., W. McIntosh, and J.R. Webb. Intertemporal Changes in the Riskiness of REITs. Journal of Real Estate Research, 1995, 10, 427-43. Intertemporal Changes in the Riskiness of REITs Journal of Real Estate Research 10 427 43
  • Ling, D. and A. Naranjo. Economic Risk Factors and Commercial Real Estate Returns. Journal of Real Estate Finance and Economics, 1997, 14, 283-307. Economic Risk Factors and Commercial Real Estate Returns Journal of Real Estate Finance and Economics 14 283 307
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