Abugri, Benjamin A.; Dutta, Sandip - In: International Review of Economics & Finance 29 (2014) C, pp. 249-259
This study uses a multifactor REIT-specific model to estimate and compare REIT idiosyncratic volatility vis-à-vis the same from the Fama–French three-factor model. Estimates of conditional idiosyncratic volatility and conditional betas obtained from a multifactor REIT-returns model and a...