We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock … prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …. The reason is that, in good times, less desirable assets with low average cash flows and high loading on market risk …

idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return - firms with higher …Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a … volatility (the positive contemporaneous relation between firm-level stock returns and idiosyncratic volatility). Our approach is …

Growth options increase idiosyncratic skewness and reduce risk exposure, and thereby create the appearance of … profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness …