The Cross-Sectional Determinants of Listed Property Trust (LPT) Returns

A number of studies have demonstrated the determinants of LPT returns. However, these studies investigated the determinants of LPT returns from various different perspectives. Therefore, the cross-section of expected LPT returns is still a puzzling question. This study contributes to this body of kn...

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Authors Lee, Chyi Lin, Reed, Jon Robinson, Robinson, Jon, Reed, Richard
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2007
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Summary:A number of studies have demonstrated the determinants of LPT returns. However, these studies investigated the determinants of LPT returns from various different perspectives. Therefore, the cross-section of expected LPT returns is still a puzzling question. This study contributes to this body of knowledge by examining the determinants of LPT returns in Australia from these various perspectives over 1993-2005. The results reveal that book-to-market ratio, momentum and downside beta provide significant explanatory power to the variations of cross-sectional LPT returns. However, the explanatory power of downside beta has diminished once the cokurtosis of LPTs is controlled. The findings provide additional insights for investors and real estate analysts into LPTs pricing.