Reits and Idiosyncratic Risk

Chaudhry, Mukesh K.; Maheshwari, Suneel; Webb, James R.

Download This Paper

Open PDF in Browser

Add Paper to My Library

Reits and Idiosyncratic Risk

Journal of Real Estate Research, Vol. 26, No. 2, 2004

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

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: 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