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An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
Finance Faculty Publications
A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.
Evidence Of The Efficiency Of Index Options Markets, Lucy F. Ackert, Yisong S. Tian
Evidence Of The Efficiency Of Index Options Markets, Lucy F. Ackert, Yisong S. Tian
Faculty and Research Publications
Index options have been one of the most successful of the many innovative financial instruments introduced over the last few decades, as their high trading volume indicates. Given their prominence, the pricing efficiency of these markets is of great importance. ; Detecting inefficient pricing, or mispricing, requires comparing a theoretically efficient price with prices of options traded in financial markets. One popular approach to deriving pricing relationships is based on a principle called no-arbitrage, which simply assumes that arbitrageurs enter the market and quickly eliminate mispricing if a profit opportunity without risk exists. However, in a well-functioning economy there is …