Article

The Journal of Real Estate Finance and Economics

, Volume 4, Issue 4, pp 367-373

Market conditions, risk, and real estate portfolio returns: Some empirical evidence

  • John L. GlascockAffiliated withDepartment of Finance, College of Business Administration, Louisiana State University

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Abstract

This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was found for any model specification. Second, no changes in beta were found using the benchmark approach. The beta shifted when an up market was defined as a nonrecessionary period; the beta behaved procyclically. However, the subperiod tests indicated that effect was transitory and period specific.

Key words

Real estate returns REITs Market conditions