Ooi, Joseph; Wang, Jingliang; Webb, James - In: The Journal of Real Estate Finance and Economics 38 (2009) 4, pp. 420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly cross-sectional returns of REIT...