AN INVESTIGATION OF THE CHANGE IN REAL-ESTATE INVESTMENT TRUST BETAS

The betas on equity real estate investment trusts (EREITs) have underg one a structural shift in the past 20 years. We show that this is the result of the lower variability of EREIT returns and argue that the de crease in the standard deviation of EREIT returns can be attributed to the increasing levels of information about EREITs. We find that the n umber of analysts following the EREITs industry, as measured by IBES, can significantly explain the drop in the standard deviation for most EREITs. This was also found to be the case for another proxy for the l evel of information-the trading volume of the EREIT index.