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  1. The Journal of Real Estate Finance and Economics
  2. The Journal of Real Estate Finance and Economics : Volume 38
  3. The Journal of Real Estate Finance and Economics : Volume 38, Issue 4, May 2009
  4. Idiosyncratic Risk and REIT Returns
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The Journal of Real Estate Finance and Economics : Volume 54
The Journal of Real Estate Finance and Economics : Volume 53
The Journal of Real Estate Finance and Economics : Volume 52
The Journal of Real Estate Finance and Economics : Volume 51
The Journal of Real Estate Finance and Economics : Volume 50
The Journal of Real Estate Finance and Economics : Volume 49
The Journal of Real Estate Finance and Economics : Volume 48
The Journal of Real Estate Finance and Economics : Volume 47
The Journal of Real Estate Finance and Economics : Volume 46
The Journal of Real Estate Finance and Economics : Volume 45
The Journal of Real Estate Finance and Economics : Volume 44
The Journal of Real Estate Finance and Economics : Volume 43
The Journal of Real Estate Finance and Economics : Volume 42
The Journal of Real Estate Finance and Economics : Volume 41
The Journal of Real Estate Finance and Economics : Volume 40
The Journal of Real Estate Finance and Economics : Volume 39
The Journal of Real Estate Finance and Economics : Volume 38
The Journal of Real Estate Finance and Economics : Volume 38, Issue 4, May 2009
Residential Asking Rents and Time on the Market
Testing for Bubbles in Housing Markets: A Panel Data Approach
Spillover Effects of Foreclosures on Neighborhood Property Values
The Relative Impacts of Trails and Greenbelts on Home Price
Idiosyncratic Risk and REIT Returns
Regional Housing Prices in the USA: An Empirical Investigation of Nonlinearity
The Journal of Real Estate Finance and Economics : Volume 38, Issue 3, April 2009
The Journal of Real Estate Finance and Economics : Volume 38, Issue 2, February 2009
The Journal of Real Estate Finance and Economics : Volume 38, Issue 1, January 2009
The Journal of Real Estate Finance and Economics : Volume 37
The Journal of Real Estate Finance and Economics : Volume 36
The Journal of Real Estate Finance and Economics : Volume 35
The Journal of Real Estate Finance and Economics : Volume 34
The Journal of Real Estate Finance and Economics : Volume 33
The Journal of Real Estate Finance and Economics : Volume 32
The Journal of Real Estate Finance and Economics : Volume 31
The Journal of Real Estate Finance and Economics : Volume 30
The Journal of Real Estate Finance and Economics : Volume 29
The Journal of Real Estate Finance and Economics : Volume 28
The Journal of Real Estate Finance and Economics : Volume 27
The Journal of Real Estate Finance and Economics : Volume 26
The Journal of Real Estate Finance and Economics : Volume 25
The Journal of Real Estate Finance and Economics : Volume 24
The Journal of Real Estate Finance and Economics : Volume 23
The Journal of Real Estate Finance and Economics : Volume 22
The Journal of Real Estate Finance and Economics : Volume 21
The Journal of Real Estate Finance and Economics : Volume 20
The Journal of Real Estate Finance and Economics : Volume 19
The Journal of Real Estate Finance and Economics : Volume 18
The Journal of Real Estate Finance and Economics : Volume 17
The Journal of Real Estate Finance and Economics : Volume 16
The Journal of Real Estate Finance and Economics : Volume 15
The Journal of Real Estate Finance and Economics : Volume 14

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Idiosyncratic Risk and REIT Returns

Content Provider Springer Nature Link
Author Ooi, Joseph T. L. Wang, Jingliang Webb, James R.
Copyright Year 2007
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.
Starting Page 420
Ending Page 442
Page Count 23
File Format PDF
ISSN 08955638
Journal The Journal of Real Estate Finance and Economics
Volume Number 38
Issue Number 4
e-ISSN 1573045X
Language English
Publisher Springer US
Publisher Date 2007-11-14
Publisher Place Boston
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Idiosyncratic risk Asset pricing REIT stocks Finance /Banking Regional/Spatial Science
Content Type Text
Resource Type Article
Subject Finance Urban Studies Accounting Economics and Econometrics
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