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Journal of Real Estate Research Volume 26, 2004 - Issue 2
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Research Articles

REITs and Idiosyncratic Risk

Mukesh ChaudhryIndiana University of Pennsylvania, Indiana, PA
,
Suneel MaheshwariMarshall University, Huntington, WV
&
James WebbCleveland State University, Cleveland, OH
Pages 207-222 | Published online: 17 Jun 2020

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  • Ambrose, B. W. and P. Linneman, REIT Organizational Structure and Operating Characteristics, Journal of Real Estate Research, 2001, 21:3, 141-62. REIT Organizational Structure and Operating Characteristics Journal of Real Estate Research 21 141 62
  • Below, S. D., J. K. Kiely and W. McIntosh, An Examination of Informed Traders and the Market Microstructure of Real estate Investment Trusts, Journal of Real Estate Research, 1995, 10:3, 335-61. An Examination of Informed Traders and the Market Microstructure of Real estate Investment Trusts Journal of Real Estate Research 10 335 61
  • Below, S. D., J. K. Kiely and W. McIntosh, REIT Pricing Efficiency; Should Investors Still Be Concerned?, Journal of Real Estate Research, 1996, 12:3, 397-412. REIT Pricing Efficiency; Should Investors Still Be Concerned? Journal of Real Estate Research 12 397 412
  • Burns, W. L. and D. R. Epley, The Performance of Portfolio of REITs and Stocks, Journal of Portfolio Management, 1982, Winter, 37-41. The Performance of Portfolio of REITs and Stocks Journal of Portfolio Management 37 41
  • Campbell J. Y., M. Lettau, B. G. Malkiel and Y. Xu, Have Individual Stocks Become More Volatile?, Journal of Finance, 2000, 56:1, 1-43. Have Individual Stocks Become More Volatile? Journal of Finance 56 1 43
  • Capozza, D. R. and P. J. Seguin, Debt, Agency, and Management Contracts in REITs: the External Advisor Puzzle, Journal of Real Estate Finance and Economics, 2000, 20:2, 91-117. Seguin, Debt, Agency, and Management Contracts in REITs: the External Advisor Puzzle Journal of Real Estate Finance and Economics 20 91 117
  • Chan, S. H., W. K. Leung and K. Wang, Institutional Investment in REITs: Evidence and Implications, Journal of Real Estate Research, 1998, 16:3, 357-74. Institutional Investment in REITs: Evidence and Implications Journal of Real Estate Research 16 357 74
  • Chandrashekaran, V., Time-Series Properties and Diversification Benefits of REIT Returns, Journal of Real Estate Research, 1999, 17:1/2, 91-112. Time-Series Properties and Diversification Benefits of REIT Returns Journal of Real Estate Research 17 91 112
  • Chen K. C. and D. D. Tzang, Interest-Rate Sensitivity of Real Estate Investment Trusts, Journal of Real Estate Research, 1988, 3:3, 13-22. Interest-Rate Sensitivity of Real Estate Investment Trusts Journal of Real Estate Research 3 13 22
  • Glascock, J. L., Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence, Journal of Real Estate Finance and Economics, 1991, 4:4, 367-73. Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence Journal of Real Estate Finance and Economics 4 367 73
  • Glascock, J. L., C. Lu and R. W. So, Further Evidence on the Integration of REIT, Bond, and Stock Returns, Journal of Real Estate Finance and Economics, 2000, 20: 177-95. Further Evidence on the Integration of REIT, Bond, and Stock Returns Journal of Real Estate Finance and Economics 20 177 95
  • Grenadier, S. R., The Persistence of Real Estate Cycles, Journal of Real Estate Finance and Economics, 1995, 10:2, 95-119. The Persistence of Real Estate Cycles Journal of Real Estate Finance and Economics 10 95 119
  • Gyourko, J. and D. B. Keim, What Does the Stock Market Tell Us About Real Estate Returns?, Journal of the American Real Estate and Urban Economics Association, 1992, 20, 457-85. What Does the Stock Market Tell Us About Real Estate Returns? Journal of the American Real Estate and Urban Economics Association 20 457 85
  • Han, J. and Y. Liang, The Historical Performance of Real Estate Investment Trusts, Journal of Real Estate Research, 1995, 10:3, 235-62. The Historical Performance of Real Estate Investment Trusts Journal of Real Estate Research 10 235 62
  • Hsieh, C. H. and C. F. Sirmans, REITs as Captive-Financing Affiliates: Impact on Financial Performance, Journal of Real Estate Research, 1991, 6, 179-89. REITs as Captive-Financing Affiliates: Impact on Financial Performance Journal of Real Estate Research 6 179 89
  • Karolyi, G. A. and A. B. Sanders, The Variation of Economic Risk Premiums in Real Estate Returns, Journal of Real Estate Finance and Economics, 1998, 17:3, 245-62. The Variation of Economic Risk Premiums in Real Estate Returns Journal of Real Estate Finance and Economics 17 245 62
  • Liang, Y., W. McIntosh and J. R. Webb, Intertemporal Changes in the Riskiness of REITs, Journal of Real Estate Research, 1995, 10:4, 427-44. Intertemporal Changes in the Riskiness of REITs Journal of Real Estate Research 10 427 44
  • Liu, C. H. and J. Mei, The Predictability of Returns on Equity REITs and Their Co-Movements with Other Assets, Journal of Real Estate Finance and Economics, 1992, 5:4, 401-18. The Predictability of Returns on Equity REITs and Their Co-Movements with Other Assets Journal of Real Estate Finance and Economics 5 401 18
  • Mei, J. and C. H. Liu, The Predictability of Real estate Returns and Market Timing, Journal of Real Estate Finance and Economics, 1994, 8:2, 115-35. The Predictability of Real estate Returns and Market Timing Journal of Real Estate Finance and Economics 8 115 35
  • Mueller, G. R. and K. R. Pauley, The Effects of Interest-Rate Movements on Real Estate Trusts, Journal of Real Estate Research, 1995, 10:3, 319-26. The Effects of Interest-Rate Movements on Real Estate Trusts Journal of Real Estate Research 10 319 26
  • Mull, S. R. and L. A. Soenen, U.S. REITs as an Asset Class in International Investment Portfolios, Financial Analyst Journal, 1997, 53:2, 55-61. U.S. REITs as an Asset Class in International Investment Portfolios Financial Analyst Journal 53 55 61
  • Sagalyn, L. B., Real Estate Risk and the Business Cycle: Evidence From Security Markets, Journal of Real Estate Research, 1990, 5:2, 203-19. Real Estate Risk and the Business Cycle: Evidence From Security Markets Journal of Real Estate Research 5 203 19
  • Titman, S. and A. Warga, Risk and the Performance of the Real Estate Investment Trusts: A Multiple Index Approach, Journal of the American Real Estate and Urban Economics Association, 1986, 14:3, 414-31. Risk and the Performance of the Real Estate Investment Trusts: A Multiple Index Approach Journal of the American Real Estate and Urban Economics Association 14 414 31
  • Wang, K., J. Erickson and S. H. Chan, Does the REIT Stock Market Resemble the General Stock Market?, Journal of Real Estate Research, 1995, 10:4, 445-60. Does the REIT Stock Market Resemble the General Stock Market? Journal of Real Estate Research 10 445 60
  • Young, M. S., REIT Property-Type Sector Integration, Journal of Real Estate Research, 2000, 19:1/2, 3-21. REIT Property-Type Sector Integration Journal of Real Estate Research 19 3 21

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