Chulalongkorn University Theses and Dissertations (Chula ETD)

Year (A.D.)

2021

Document Type

Independent Study

First Advisor

Roongkiat Ratanabanchuen

Faculty/College

Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline

Finance

DOI

10.58837/CHULA.IS.2021.76

Abstract

This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to the leverage constraint hypothesis shows a significant relation with REIT returns. To examine that the beta anomaly is a demonstration of the leverage constraint hypothesis, the result of pooled OLS regression shows a significant relationship between REIT betas and institutional ownership.

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