کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
962177 929998 2010 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Idiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Idiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts
چکیده انگلیسی
This study examines total, market and idiosyncratic risk and correlation dynamics using weekly return data on two US REIT firm samples from 1988 to 2008. We find that both market and idiosyncratic variance are time-varying and that idiosyncratic variance represents a dominant component of a REIT firm's total variance. We find a decline in idiosyncratic risk as well as a rise in average REIT correlation during the new REIT era, from 1993 to 2008. This recent downward trend of idiosyncratic risk among REITs is different to the stylized upward trend of idiosyncratic risk among stocks. There is bi-lateral Granger causality between the market and idiosyncratic risks. Finally, we detect a positive relationship between the idiosyncratic risk and expected returns, implying that the risk premium of REITs is positively related to the idiosyncratic risk during the period new REIT era, 1993-2008. Our results have important asset-pricing implications for under-diversified investors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Housing Economics - Volume 19, Issue 3, September 2010, Pages 205-218
نویسندگان
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