Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-007-9091-1
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. https://doi.org/10.1007/s11146-007-9091-1
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
URI: http://scholarbank.nus.edu.sg/handle/10635/46157
ISSN: 08955638
DOI: 10.1007/s11146-007-9091-1
Appears in Collections:Staff Publications

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