The Conditional CAPM and Time Varying Risk Premium for Equity REITs

Mohammad Najand; Crystal Yan Lin; Elizabeth Fitzgerald

The Conditional CAPM and Time Varying Risk Premium for Equity REITs

Mohammad Najand, Crystal Yan Lin, Elizabeth Fitzgerald

Eastern Illinois University

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Default journal
State	Published - Apr 12 2007

Disciplines

Economics
Econometrics

Cite this

@article{bdedcea87ce140cdb6041e201326c352,

title = "The Conditional CAPM and Time Varying Risk Premium for Equity REITs",

author = "Mohammad Najand and Lin, \{Crystal Yan\} and Elizabeth Fitzgerald",

note = "23 Pages Posted: 12 Apr 2007 Given the recent much interest in REITs, we investigate if REITs have provided investors with superior risk/return trade off. Utilizing a conditional CAPM, we find that equity REITs have outperformed the market with an average abnormal annual return of 2.25\% with a low time-varying beta of around .24 during June 1995 to December 2003 period.",

year = "2007",

month = apr,

day = "12",

language = "American English",

journal = "Default journal",

}

TY - JOUR

T1 - The Conditional CAPM and Time Varying Risk Premium for Equity REITs

AU - Najand, Mohammad

AU - Lin, Crystal Yan

AU - Fitzgerald, Elizabeth

N1 - 23 Pages Posted: 12 Apr 2007 Given the recent much interest in REITs, we investigate if REITs have provided investors with superior risk/return trade off. Utilizing a conditional CAPM, we find that equity REITs have outperformed the market with an average abnormal annual return of 2.25% with a low time-varying beta of around .24 during June 1995 to December 2003 period.

PY - 2007/4/12

Y1 - 2007/4/12

UR - https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID979352_code148696.pdf?abstractid=979352&mirid=1&type=2

M3 - Article

JO - Default journal

JF - Default journal

ER -

The Conditional CAPM and Time Varying Risk Premium for Equity REITs

Disciplines

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