Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13044
Title: Idiosyncratic risk and the cross-section of REIT returns
Authors: WANG JINGLIANG
Keywords: Idiosyncratic Risk, REIT, Asset Pricing
Issue Date: 20-Feb-2008
Source: 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)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Idiosyncratic risk and the cross-section of REIT returns.pdf914.86 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

287
checked on Dec 18, 2017

Download(s)

227
checked on Dec 18, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.