REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We …-factor model to demonstrate that the size effect exists in EREITs market. We investigate time-varying volatility for size effect by … from volatility the bond market term spread and the volatility of short-term interest rates. The unexpected shock from …

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 …

decisions. We employ American REIT data to investigate the effects of internal liquidity risk on REIT excess returns. Our firm …-level results show that internal liquidity risk positively relates to REIT excess returns when controlling for variables possibly … affecting REIT returns. Besides, our results show that internal liquidity risk effects are stronger for REITs with smaller size …

volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to …

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty … is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify …