Footnote:
In: JRER, Vol. 26, No. 2-2004
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 28, 2003 erstellt
Description:
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