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| Content Provider | Springer Nature Link |
|---|---|
| Author | Hung, Szu Yin Kathy Glascock, John L. |
| Copyright Year | 2009 |
| Abstract | We examine the relation of time-varying idiosyncratic risk and momentum returns in REITs using a GARCH-in-mean model and incorporate liquidity risk in the asset pricing model. This is important because illiquidity may be more severe for REITs due to the nature of their underlying assets. We find that momentum returns display asymmetric volatility, i.e., momentum returns are higher when volatility is higher. Additionally, we find evidence that REITs with lowest past returns (losers) have higher idiosyncratic risks than those with highest past returns (winners) and that investors require a lower risk premium for holding losers’ idiosyncratic risks. Therefore, although losers have higher levels of idiosyncratic risks, their low risk premia cause low returns, which contribute to momentum. Lastly, we find a positive relation between REITs’ momentum return and turnover. |
| Starting Page | 126 |
| Ending Page | 149 |
| Page Count | 24 |
| File Format | |
| ISSN | 08955638 |
| Journal | The Journal of Real Estate Finance and Economics |
| Volume Number | 41 |
| Issue Number | 2 |
| e-ISSN | 1573045X |
| Language | English |
| Publisher | Springer US |
| Publisher Date | 2009-02-20 |
| Publisher Place | Boston |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Idiosyncratic volatility Asymmetric volatility Liquidity risk REITs Momentum trading strategy GARCH-in-mean model Finance /Banking Regional/Spatial Science |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Urban Studies Accounting Economics and Econometrics |
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