An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model

A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns

The Relationship Between Size and Return for Foreign Real Estate Investments

In this study, we utilize a relatively new database to examine whether small foreign real estate firms have higher returns than large foreign real estate firms. We examine this issue from the perspective of a U.S. investor who forms portfolios of international real estate firms on the basis of U.S. dollar market value of equity. Using eleven years of foreign real estate data for more than 1200 observations in twenty countries, we find that large firms have higher returns and lower risk than small firms. These results hold when returns are denominated in either local currency or dollars. Further, the relationship between firm size and return is monotonic across portfolio groupings