Abstracts for Vol.
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Specifically, REIT returns more closely track the general market when markets are declining than when they are rising. In this article, we provide further evidence on the nature of this 'return-dependence' in REIT betas and investigate its origins. The evidence suggests that the asymmetry in beta is not the product of dividend effects or a declining REIT-market relationship. Instead, the pattern in REIT betas is similar to small capitalization stocks in general. However, the traditional explanations fro the small stock effect in betas are not found to satisfactorily describe the beta pattern in REITs.