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REITs and Idiosyncratic Risk
Mukesh K. Chaudhry, Suneel Maheshwari and James R. Webb

Start Page: 207
End Page: 222
Volume: 26
Issue Number: 02
Year: 2004
Publication: Journal of Real Estate Research

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

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