Downside systematic risk in Australian listed property trusts
Previous studies on systematic risk have demonstrated the link between financial and management structure determinants and systematic risk. However, systematic risk is estimated by assuming return is normally distributed. This assumption is generally rejected for real estate returns. Therefore, down...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
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2007
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| Online Access: | http://eprints.utm.my/1297/1/PRRES_2007_Paper-Lee%2CRobinson_and_Reed-%28R022%29.pdf |
| _version_ | 1796853214292738048 |
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| author | Chyi, Lin Lee Robinson, Jon Reed, Richard |
| author_facet | Chyi, Lin Lee Robinson, Jon Reed, Richard |
| author_sort | Chyi, Lin Lee |
| collection | ePrints |
| description | Previous studies on systematic risk have demonstrated the link between financial and management structure determinants and systematic risk. However, systematic risk is estimated by assuming return is normally distributed. This assumption is generally rejected for real estate returns. Therefore, downside systematic risk appears as a more sensible risk measure in estimating market-related risk. This study contributes to this body of knowledge by examining the determinants of downside systematic risk in Australian Listed Property Trusts (LPTs) over 1993-2005. The results reveal that systematic risk and downside systematic risk are empirically distinguishable. More specifically, there is limited evidence on the connection between these financial and management structure determinants and systematic risk. However, downside systematic risk is sensitive to leverage and management structure.
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| first_indexed | 2024-03-05T17:56:16Z |
| format | Conference or Workshop Item |
| id | utm.eprints-1297 |
| institution | Universiti Teknologi Malaysia - ePrints |
| language | English |
| last_indexed | 2024-03-05T17:56:16Z |
| publishDate | 2007 |
| record_format | dspace |
| spelling | utm.eprints-12972017-08-06T04:26:47Z http://eprints.utm.my/1297/ Downside systematic risk in Australian listed property trusts Chyi, Lin Lee Robinson, Jon Reed, Richard H Social Sciences (General) Previous studies on systematic risk have demonstrated the link between financial and management structure determinants and systematic risk. However, systematic risk is estimated by assuming return is normally distributed. This assumption is generally rejected for real estate returns. Therefore, downside systematic risk appears as a more sensible risk measure in estimating market-related risk. This study contributes to this body of knowledge by examining the determinants of downside systematic risk in Australian Listed Property Trusts (LPTs) over 1993-2005. The results reveal that systematic risk and downside systematic risk are empirically distinguishable. More specifically, there is limited evidence on the connection between these financial and management structure determinants and systematic risk. However, downside systematic risk is sensitive to leverage and management structure. 2007 Conference or Workshop Item NonPeerReviewed application/pdf en http://eprints.utm.my/1297/1/PRRES_2007_Paper-Lee%2CRobinson_and_Reed-%28R022%29.pdf Chyi, Lin Lee and Robinson, Jon and Reed, Richard (2007) Downside systematic risk in Australian listed property trusts. In: 13th Pacific Rim Real Estate Society Conference, 21-24 January 2007, Fremantle, Western Australia, Australia. (Unpublished) |
| spellingShingle | H Social Sciences (General) Chyi, Lin Lee Robinson, Jon Reed, Richard Downside systematic risk in Australian listed property trusts |
| title | Downside systematic risk in Australian listed property trusts |
| title_full | Downside systematic risk in Australian listed property trusts |
| title_fullStr | Downside systematic risk in Australian listed property trusts |
| title_full_unstemmed | Downside systematic risk in Australian listed property trusts |
| title_short | Downside systematic risk in Australian listed property trusts |
| title_sort | downside systematic risk in australian listed property trusts |
| topic | H Social Sciences (General) |
| url | http://eprints.utm.my/1297/1/PRRES_2007_Paper-Lee%2CRobinson_and_Reed-%28R022%29.pdf |
| work_keys_str_mv | AT chyilinlee downsidesystematicriskinaustralianlistedpropertytrusts AT robinsonjon downsidesystematicriskinaustralianlistedpropertytrusts AT reedrichard downsidesystematicriskinaustralianlistedpropertytrusts |