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REITs and Idiosyncratic Risk

Author

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  • Mukesh Chaudhry
  • Suneel Maheshwari
  • James Webb

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.

Suggested Citation

  • Mukesh Chaudhry & Suneel Maheshwari & James Webb, 2004. "REITs and Idiosyncratic Risk," Journal of Real Estate Research, Taylor & Francis Journals, vol. 26(2), pages 207-222, January.
    • Handle: RePEc:taf:rjerxx:v:26:y:2004:i:2:p:207-222
    DOI: 10.1080/10835547.2004.12091134
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