Pricing of Volatility Risk in REITs

Jared DeLisle, S. McKay Price () and C.F. Sirmans ()
Additional contact information
S. McKay Price: Lehigh University
C.F. Sirmans: Florida State University

Journal of Real Estate Research, 2013, vol. 35, issue 2, 223-248

Abstract: We examine the pricing of volatility risk in the cross-section of equity real estate investment trust (REIT) stock returns over the 1996 to 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic) volatility. In contrast to the negative and significant price of systematic volatility risk for non-REIT equities, we find that systematic volatility is not priced in REIT returns. Idiosyncratic volatility, estimated using the Fama and French (1993) three-factor model, is negatively priced in the cross-section and is largely independent of non-REIT idiosyncratic volatility. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (14)

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Journal Article: Pricing of Volatility Risk in REITs (2013)
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