Cheong Shum, Wai; Wong, Karen H.Y. - In: Journal of Asia Business Studies 4 (2009) 1, pp. 33-38
Using Japan REITs stock data, this paper examines the risk‐return relations conditional on up and down markets periods. The results show that beta is significantly and positively (negatively) related to realized returns in up (down) markets before and after controlling for extra risk factors....