Reits and Idiosyncratic Risk

16 Pages Posted: 3 Jan 2007

See all articles by Mukesh K. Chaudhry

Mukesh K. Chaudhry

Indiana University of Pennsylvania - Department of Finance and Legal Studies

Suneel Maheshwari

Indiana University of Pennsylvania

James R. Webb

Cleveland State University

Abstract

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.

Keywords: REIT, real estate investment trust, option, earnings, idiosyncratic risk

JEL Classification: L85,D81,D82,D83,D84,D92,D61,D72,E27,E32,G11,G14

Suggested Citation

Chaudhry, Mukesh K. and Maheshwari, Suneel and Webb, James R., Reits and Idiosyncratic Risk. Journal of Real Estate Research, Vol. 26, No. 2, 2004. Available at SSRN: https://ssrn.com/abstract=954746

Mukesh K. Chaudhry (Contact Author)

Indiana University of Pennsylvania - Department of Finance and Legal Studies ( email )

Indiana, PA
United States

Suneel Maheshwari

Indiana University of Pennsylvania ( email )

221G Eberly
664 Pratt Drive
Indiana, PA PA 15705
United States
3046349882 (Phone)
3046349882 (Fax)

James R. Webb

Cleveland State University ( email )

1860 E. 18th St., BU 327E
Cleveland, OH 44115
United States
216-687-4716 (Phone)
216-687-4716 (Fax)

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