Abstract
This study aims to examine the ability of downside beta in explaining the Australian direct property returns with addressing the smoothing issue. Utilising the quarterly IPD/PCA Australian property indices over 1995-2008, the results reveal that smoothed and unsmoothed downside betas are statistically distinguishable. The results also show that unsmoothed downside beta is positive and statistically significant related to Australian direct property returns, while smoothed downside beta exhibits a negative link with the returns. The results are robust after controlling for the different property types and different smoothing parameters. These findings provide further insights into the pricing of appraisal based real estate indices.
| Original language | English |
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| Title of host publication | Proceedings of the 15th Annual Conference of the Pacific Rim Real Estate Society, Sydney, Australia, January 18-21, 2009 |
| Publisher | Pacific Rim Real Estate Society |
| Number of pages | 33 |
| Publication status | Published - 2009 |
| Event | Pacific Rim Real Estate Society. Conference - Duration: 15 Jan 2012 → … |
Conference
| Conference | Pacific Rim Real Estate Society. Conference |
|---|---|
| Period | 15/01/12 → … |