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.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Tantratananuwat, Nutpapol, "The evidence of the beta anomaly in the European REIT market" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7692.
https://digital.car.chula.ac.th/chulaetd/7692