Eres : Digital Library : Works

Paper eres2007_247:
The Cross-Sectional Determinants of Listed Property Trust (LPT) Returns

id eres2007_247
authors Lee, Chyi Lin; Jon Robinson & Richard Reed
year 2007
title The Cross-Sectional Determinants of Listed Property Trust (LPT) Returns
source 14th Annual European Real Estate Society Conference in London, UK
summary A number of studies have demonstrated the determinants of LPT returns. However, these studies investigated the determinants of LPT returns from various different perspectives. Therefore, the cross-section of expected LPT returns is still a puzzling question. This study contributes to this body of knowledge by examining the determinants of LPT returns in Australia from these various perspectives over 1993-2005. The results reveal that book-to-market ratio, momentum and downside beta provide significant explanatory power to the variations of cross-sectional LPT returns. However, the explanatory power of downside beta has diminished once the cokurtosis of LPTs is controlled. The findings provide additional insights for investors and real estate analysts into LPTs pricing.
series ERES:conference
discussion No discussions. Post discussion ...
session Session E2: International Investment in Real Estate Securities
last changed 2009/11/19 09:01
HOMELOGIN (you are user _anon_417586 from group guest) Powered by SciX Open Publishing Services 1.002