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

Producción científica › revisión exhaustiva

Idioma original	American English
Publicación	Default journal
Estado	Published - abr 12 2007

Disciplines

Economics
Econometrics

Otros archivos y enlaces

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

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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.",

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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

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