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Title: | Idiosyncratic risk and the cross-section of REIT returns | Authors: | WANG JINGLIANG | Keywords: | Idiosyncratic Risk, REIT, Asset Pricing | Issue Date: | 20-Feb-2008 | Citation: | WANG JINGLIANG (2008-02-20). Idiosyncratic risk and the cross-section of REIT returns. ScholarBank@NUS Repository. | Abstract: | This study examines the significance of idiosyncratic risk in explaining the monthly cross-sectional returns of REIT stocks. The empirical investigation indicates that idiosyncratic risk dominates the total volatility of REIT returns between 1990 and 2005. Although the results show that idiosyncratic risk of REIT stocks has declined over the study period, it is a significant factor in explaining the cross-sectional returns of REIT stocks. Indeed, the estimation results show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and book-to-market equity ratio factors cease to be significant. This suggests the two popular anomalies associated with firm size and value stocks may only be capturing the omitted effects of conditional idiosyncratic risk. The explanatory power of a third pricing anomaly, namely the momentum effect, remains robust in the presence of idiosyncratic risk. | URI: | http://scholarbank.nus.edu.sg/handle/10635/13044 |
Appears in Collections: | Master's Theses (Open) |
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