Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach |
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| Authors: | Sheridan Titman Arthur Warga |
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| Affiliation: | Finance Department, Graduate School of Management, University of California-Los Angeles, Los Angeles, California 90024.;College of Business, Columbia University, New York, New York 10027. |
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| Abstract: | This paper analyzes the returns of a sample of Real Estate Investment Trusts and examines their risk-adjusted performance using both single index (i.e., CAPM) and multiple index (i.e., APT) models. It is shown that while the performance rankings of the investment trusts are not very sensitive to the risk-adjustment model, the actual performance measures do sometimes differ substantially. Unfortunately, because of the high volatility of these real estate investments, the differences in investment performance across trusts generally are not statistically significant. |
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