Listed property trusts and downside systematic risk sensitivity

Abstract

Purpose - This paper aims to identify and examine the determinants of downside systematic risk in Australian listed property trusts (LPTs). Design/methodology/approach - Capital asset pricing model (CAPM) and lower partial moment-CAPM (LPM-CAPM) are employed to compute both systematic risk and downside systematic risk. The methodology of Patel and Olsen and Chaudhry et al. is adopted to examine the determinants of systematic risk and downside systematic risk. Findings - The results confirm that systematic risk and downside systematic risk can be individually identified. There is little evidence to support the existence of linkages between systematic risk in Australian LPTs and financial/mana..