The Role of Systematic Covariance and
Coskewness in the Pricing of Real Estate: Evidence from Equity REITs
Author: Timothy W. Vines, Cheng-Ho
Hsieh, and John J. Hatem
Start Page: 421
End Page: 430
Volume: 9
Issue Number: 4
Year: 1994
Publication: Journal of Real Estate Research
Abstract: 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 is no evidence that systematic coskewness is a determinant of EREIT return,
which is contrary to prior findings using other financial instruments. Also, the problem
of multicollinearity noted in earlier tests of the model does not occur herein.
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