Reits and Idiosyncratic Risk

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

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Year of publication:	[2007]
Authors:	Chaudhry, Mukesh K.
Other Persons:	Maheshwari, Suneel (contributor) ; Webb, James R. (contributor)
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Real Estate Research, Vol. 26, No. 2, 2004
Classification:	L85 - Real Estate Services ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D82 - Asymmetric and Private Information ; D83 - Search, Learning, Information and Knowledge ; D84 - Expectations; Speculations ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; D61 - Allocative Efficiency; Cost-Benefit Analysis ; D72 - Economic Models of Political Processes: Rent-Seeking, Elections, Legistures, and Voting Behavior ; E27 - Forecasting and Simulation ; E32 - Business Fluctuations; Cycles ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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