Vines, Timothy W.; Hsieh, Cheng-Ho; Hatem, John J. - In: Journal of Real Estate Research 9 (1994) 4, pp. 421-430
This study explores the impact of systematic risk (beta) and systematic coskewness on EREIT returns. The test uses the Skewness Preference CAPM, which includes the impact of the third moment on returns. The findings are that systematic risk impacts return in the predicted manner. However, there...