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dc.contributor.authorLiu, Xiaolong
dc.contributor.authorLiu, Peng
dc.description.abstractA market portfolio is constructed in this paper that is in the spirit of Roll (1977). It consists of equity assets, fixed-income securities, and real estate, and tests whether the real estate investment trust (REIT) risk premium that is estimated using an equity index alone is robust to the misspecification of the market portfolio. The results show that REIT betas increase significantly relative to a more complete market proxy. Moreover, adding real estate to the market portfolio accounts for a significant portion of the bias in the estimated REIT market risk premium.
dc.rightsRequired Publisher Statement: © American Real Estate Society. Reprinted with permission. All rights reserved.
dc.subjectmarket portfolio
dc.subjectasset management
dc.subjectreal estate investment trusts
dc.subjectrisk management
dc.titleThe Composition of Market Proxy in REITs Risk Premium Estimation
dc.description.legacydownloadsPL9_The_Composition_of_Market_Proxy.pdf: 2356 downloads, before Aug. 1, 2020.
local.authorAffiliationLiu, Xiaolong: Renmin University
local.authorAffiliationLiu, Peng: Cornell University

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