EconPapers    
Economics at your fingertips  
 

REIT idiosyncratic risk

Kevin C.H. Chiang, Xiaguan Jiang and Ming‐Long Lee

Journal of Property Research, 2010, vol. 26, issue 4, 349-366

Abstract: Investors are told to hold a well‐diversified portfolio; when everyone does so, idiosyncratic risk is diversified away and does not enter the pricing equation in equilibrium. This study finds that the idiosyncratic risk of real estate investment trusts (REITs) appears to have an upward time trend during the vintage REIT era (1980--1992) and appears to trend downward during the new REIT era (1993--2006). This study also finds that this pattern appears to coincide with a reversion in the relation between REIT idiosyncratic risk and the excess returns of REITs. Specifically, during the vintage REIT era, the excess return of REITs is positively related to REIT idiosyncratic risk. After 1993, the excess return of REITs is negatively related to REIT idiosyncratic risk.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2009.485418 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jpropr:v:26:y:2010:i:4:p:349-366

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599916.2009.485418

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-20
Handle: RePEc:taf:jpropr:v:26:y:2010:i:4:p:349-366