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Downside systematic risk in Australian listed property trusts

Lee, Chyi Lin 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 (Unpublished)

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Abstract

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.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:downside systematic risk, financial determinants, management structure, listed property trusts
Subjects:H Social Sciences > H Social Sciences (General)
Divisions:Geoinformation Science And Engineering (Formerly known)
ID Code:1297
Deposited By: Dr Suriatini Ismail
Deposited On:01 Mar 2007 07:49
Last Modified:09 Apr 2012 07:00

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