IDEAS home Printed from https://ideas.repec.org/a/taf/jpropr/v42y2025i1p20-45.html
   My bibliography  Save this article

Expected idiosyncratic moment risk and the cross-section of REIT returns

Author

Listed:
  • Prodosh E. Simlai

Abstract

In this paper, we investigate whether expected idiosyncratic volatility (IV) and expected idiosyncratic skewness (IS) risk are both present and significant in the cross-section of expected REIT returns. Our firm-level empirical tests indicate a significant and negative relationship between REIT returns and both IV and IS risk. The observed risk-return trade-off remains significant even after controlling for firm-level characteristics and common risk factors. The empirical results document that firm-level IS risk is consonant with firm-level IV and that IS risk is not subsumed by IV and vice versa. Using Hou and Loh’s (2016) cross-sectional decomposition analysis, we find that firm-level IV and IS capture a very small percentage of each other’s average return premium, while a residual component accounts for the rest.

Suggested Citation

  • Prodosh E. Simlai, 2025. "Expected idiosyncratic moment risk and the cross-section of REIT returns," Journal of Property Research, Taylor & Francis Journals, vol. 42(1), pages 20-45, January.
    • Handle: RePEc:taf:jpropr:v:42:y:2025:i:1:p:20-45
    DOI: 10.1080/09599916.2024.2409133
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09599916.2024.2409133
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09599916.2024.2409133?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jpropr:v:42:y:2025:i:1:p:20-45. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RJPR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.