Kwok Yuen Fan

Kwok Yuen Fan

Kwok Yuen Fan is an assistant professor of economics and finance at the Hang Seng University of Hong Kong. He received his Ph.D. in Real Estate Economics from Hong Kong Polytechnic University. His research focuses on Sustainability, Real Estate Economics and Finance, and Corporate Finance.

The beta anomaly in the REIT market

Published in The Journal of Real Estate Finance and Economics, 2021

The beta anomaly in the REIT market and providing evidence that it is driven by institutional investors’ preference for high-beta assets, which supports the leverage constraints hypothesis over alternative explanations. This institutional demand inflates the prices of high-beta REITs, causing their subsequent risk-adjusted underperformance and creating profitable opportunities for strategies that bet against beta.