Please use this identifier to cite or link to this item:
Title: Idiosyncratic Risk and REIT Returns
Authors: Ooi, J.T.L. 
Wang, J.
Webb, J.R.
Keywords: Asset pricing
Idiosyncratic risk
REIT stocks
Issue Date: 2009
Citation: Ooi, J.T.L., Wang, J., Webb, J.R. (2009). Idiosyncratic Risk and REIT Returns. Journal of Real Estate Finance and Economics 38 (4) : 420-442. ScholarBank@NUS Repository.
Abstract: The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing. The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust in the presence of idiosyncratic risk. © 2007 Springer Science+Business Media, LLC.
Source Title: Journal of Real Estate Finance and Economics
ISSN: 08955638
DOI: 10.1007/s11146-007-9091-1
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.


checked on Nov 18, 2019


checked on Nov 18, 2019

Page view(s)

checked on Oct 28, 2019

Google ScholarTM



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