The Role of Beta in Active Management from REIT Perspective

  • 李 威陽

Student thesis: Master's Thesis


This work presents the research on relationship between beta and return of US real estate mutual funds portfolio for the past 10 years Study shows that on average real estate mutual funds underperform the benchmark and should not be compensated for managerial selection ability The return during up market is positively correlated with beta and negatively correlated with beta during down market for both equity and REIT Property market cycle in expansion and contraction period do not exhibit apparent beta relationship with the return In addition our study reveals statistically higher explanatory power of beta for REIT than equity in explaining the real estate mutual funds return
Date of Award2017 Feb 15
Original languageEnglish
SupervisorHui-Ching Sana Hsieh (Supervisor)

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