| DC Field | Value | Language |
|---|---|---|
| dc.contributor | Department of Building and Real Estate | en_US |
| dc.creator | Shen, J | en_US |
| dc.creator | Hui, ECM | en_US |
| dc.creator | Fan, K | en_US |
| dc.date.accessioned | 2021-06-16T06:35:15Z | - |
| dc.date.available | 2021-06-16T06:35:15Z | - |
| dc.identifier.issn | 0895-5638 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10397/90322 | - |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.subject | Beta anomaly | en_US |
| dc.subject | Institutional ownership | en_US |
| dc.subject | Leverage constraints | en_US |
| dc.subject | New REIT era | en_US |
| dc.title | The beta anomaly in the REIT market | en_US |
| dc.type | Journal/Magazine Article | en_US |
| dc.identifier.doi | 10.1007/s11146-020-09784-3 | en_US |
| dcterms.abstract | This research examined whether the beta anomaly exists in the REIT market. By analysing a low-minus-high beta strategy and a betting-against-beta strategy in the REIT market, we find that high-beta REITs earn significantly lower risk-adjusted returns than low-beta REITs. This beta anomaly is only significant in the New REIT Era after 1993. The negative relationship between beta and REIT stock return does not disappear after taking into account some firm characteristics, suggesting that the beta anomaly in the REIT market is not driven by beta’s correlation with profitability, asset growth, lottery-like return or the skewness of stock returns. We find that institutional investors, whose portfolios increasingly contain a significant proportion of REITs, prefer the high-beta REITs. The exposure of institutional investors to high-beta REITs could explain the beta anomaly in the REIT market. | en_US |
| dcterms.accessRights | embargoed access | en_US |
| dcterms.bibliographicCitation | Journal of real estate finance and economics, 2020, https://doi.org/10.1007/s11146-020-09784-3 | en_US |
| dcterms.isPartOf | Journal of real estate finance and economics | en_US |
| dcterms.issued | 2020 | - |
| dc.identifier.scopus | 2-s2.0-85088436088 | - |
| dc.identifier.eissn | 1573-045X | en_US |
| dc.description.validate | 202106 bcvc | en_US |
| dc.description.oa | Not applicable | en_US |
| dc.identifier.FolderNumber | a0928-n03 | - |
| dc.description.fundingSource | Others | en_US |
| dc.description.fundingText | PGMS Project ID: P0030199 | en_US |
| dc.description.pubStatus | Early release | en_US |
| dc.date.embargo | 2021-07-23 | en_US |
| Appears in Collections: | Journal/Magazine Article | |
Access
View full-text via PolyU eLinks 
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.