Abstract

SANTANA VILORIA, LEONARDO. ESTIMATING BETA FOR THE REAL ESTATE SECTOR BASED ON THE REAL ESTATE INVESTMENT TRUSTS PERFORMANCE IN COLOMBIA. Finanz. polit. econ. [online]. 2015, vol.7, n.1, pp.83-95. ISSN 2248-6046.  https://doi.org/10.14718/revfinanzpolitecon.2015.7.1.4.

The creation of property investment funds in Colombia has made portfolio diversification possible by allowing parties to invest in the property sector without buying and managing real estate directly. In recent years, the behavior of these funds has shown higher average profits and lower volatility than that of the market. This study applies the Capital Asset Pricing Model (CAPM) and estimates various autoregressive models and models of conditional heteroscedasticity, in order to calculate the beta of these funds as an estimate of the property sector’s sensitivity to systematic risk. Results show that the risk level of the property sector is far lower than that of the market, suggesting that real estate projects have much lower capital costs than projects in other sectors.

Keywords : property investment funds; property sector; CAPM model; GARCH models.

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