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REITs and Idiosyncratic Risk

The Journal of real estate research, 2004-04, Vol.26 (2), p.207-222 [Peer Reviewed Journal]

Copyright American Real Estate Society Apr-Jun 2004 ;ISSN: 0896-5803 ;EISSN: 2691-1175 ;DOI: 10.1080/10835547.2004.12091134

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Title:
REITs and Idiosyncratic Risk
Author: Chaudhry, Mukesh K. ; Maheshwari, Suneel ; Webb, James R.
Subjects: Asset allocation ; Bond portfolios ; Business structures ; Capital market ; Decomposition ; Diversification ; Economics ; Equity ; Financial leverage ; Housing ; Idiosyncratic risk ; Institutional investments ; Interest rates ; Investment ; Investment policy ; Investment risk ; Investment trusts ; Investors ; Liquidity ; Liquidity risk ; Portfolio diversification ; Portfolio management ; Profit ; Real estate ; Real estate appraisal ; Real estate investment trusts ; Real estate markets ; REITs ; Risk ; Risk premiums ; Securities markets ; Standard deviation ; Stock exchanges ; Stock returns ; Volatility
Is Part Of: The Journal of real estate research, 2004-04, Vol.26 (2), p.207-222
Description: This study examines various determinants of idiosyncratic risk from the perspective of un-diversified REIT investors, managers holding options, other option holders, and arbitrageurs. Since real estate investment trusts (REITs) enjoy a unique organizational structure and tax status, the relevant determinants derived from the two-stage regression model are different from other industrial firms. Results suggest that efficiency, liquidity and earnings variability are the important determinants of idiosyncratic risk, whereas size and capital do not.
Publisher: Clemson: The American Real Estate Society
Language: English
Identifier: ISSN: 0896-5803
EISSN: 2691-1175
DOI: 10.1080/10835547.2004.12091134
Source: ProQuest Central

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REITs and Idiosyncratic Risk

Copyright American Real Estate Society Apr-Jun 2004 ;ISSN: 0896-5803 ;EISSN: 2691-1175 ;DOI: 10.1080/10835547.2004.12091134

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