The Beta Factor in the REIT Industry

Abstract

This study explores the beta factor in the South African real estate investment trust (REIT) industry. Using MASCOFLAPEC, historical, and Monte Carlo (vanilla, antithetic, and quasi-random) betas, the author confirms that the beta factor and volatility theory have the same intuitive explanation. Interestingly, the beta factor, as shown by quantitative and qualitative betas, appropriately accounts for the financial position and financial health of REITs. The alphas (Sharpe, Treynor, and Jensen) support the findings on the betas.