Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jhe.2010.06.001
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dc.titleIdiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts
dc.contributor.authorLiow, K.H.
dc.contributor.authorAddae-Dapaah, K.
dc.date.accessioned2013-10-14T05:09:22Z
dc.date.available2013-10-14T05:09:22Z
dc.date.issued2010
dc.identifier.citationLiow, K.H., Addae-Dapaah, K. (2010). Idiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts. Journal of Housing Economics 19 (3) : 205-218. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jhe.2010.06.001
dc.identifier.issn10511377
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46158
dc.description.abstractThis study examines total, market and idiosyncratic risk and correlation dynamics using weekly return data on two US REIT firm samples from 1988 to 2008. We find that both market and idiosyncratic variance are time-varying and that idiosyncratic variance represents a dominant component of a REIT firm's total variance. We find a decline in idiosyncratic risk as well as a rise in average REIT correlation during the new REIT era, from 1993 to 2008. This recent downward trend of idiosyncratic risk among REITs is different to the stylized upward trend of idiosyncratic risk among stocks. There is bi-lateral Granger causality between the market and idiosyncratic risks. Finally, we detect a positive relationship between the idiosyncratic risk and expected returns, implying that the risk premium of REITs is positively related to the idiosyncratic risk during the period new REIT era, 1993-2008. Our results have important asset-pricing implications for under-diversified investors. © 2010 Elsevier Inc.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.jhe.2010.06.001
dc.sourceScopus
dc.subjectCorrelations
dc.subjectExpected returns
dc.subjectIdiosyncratic risk
dc.subjectMarket risk
dc.subjectReal estate investment trusts
dc.subjectTime trends
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1016/j.jhe.2010.06.001
dc.description.sourcetitleJournal of Housing Economics
dc.description.volume19
dc.description.issue3
dc.description.page205-218
dc.description.codenJHECF
dc.identifier.isiut000281686800004
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