This paper applies the Time Varying Coefficient (TVC) approach to examine the systematic risks of the National Association of Real Estate Investment Trusts (NAREIT) return index using the Capital Asset Pricing Model (CAPM) framework. We found that the systematic risk of Real Estate Investment...

This study estimates the time-varying REIT betas using a structural time series model using monthly REIT return data for the periods from 1972 to 2013. Based on the FTSE-NAREIT return indices for the equity REIT (EREIT) and mortgage REIT (MREIT), we found corroborative evidence of the temporal...

Recent studies have documented an asymmetry in the market-beta of equity Real Estate Investment Trusts (REITs) based on high and low Gross Domestic Product (GDP) growth states, as well as in bull and bear stock markets. The asymmetry has been deemed a puzzle (Chatrath <italic>et al</italic>., 2000; Chiang <italic>et al</italic>.,...

This paper hypothesizes that the increase in money supply induced by rapid economic growth leads to strong investment demand in the Taiwanese housing market. A threshold model is used to confirm money supply as the key threshold variable. When the growth rate of money supply is below the model's...

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...

This paper examines how deviations from expected optimal cash holdings affect future stock returns in the real estate investment trust (REIT) industry. Our findings indicate that REIT managers elect to hold less cash to reduce the agency problems of cash flow, supporting the pecking order theory...