Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-007-9091-1
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dc.titleIdiosyncratic Risk and REIT Returns
dc.contributor.authorOoi, J.T.L.
dc.contributor.authorWang, J.
dc.contributor.authorWebb, J.R.
dc.date.accessioned2013-10-14T05:09:19Z
dc.date.available2013-10-14T05:09:19Z
dc.date.issued2009
dc.identifier.citationOoi, 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
dc.identifier.issn08955638
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46157
dc.description.abstractThe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s11146-007-9091-1
dc.sourceScopus
dc.subjectAsset pricing
dc.subjectIdiosyncratic risk
dc.subjectREIT stocks
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1007/s11146-007-9091-1
dc.description.sourcetitleJournal of Real Estate Finance and Economics
dc.description.volume38
dc.description.issue4
dc.description.page420-442
dc.identifier.isiut000265153500005
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