58
Views
2
CrossRef citations to date
0
Altmetric
Research Articles

Pricing of Volatility Risk in REITs

, &
Pages 223-248 | Published online: 17 Jun 2020

  • Ang, A., R.J. Hodrick, Y. Xing, and X. Zhang. The Cross-Section of Volatility and Expected Returns. Journal of Finance, 2006, 51:1, 259-99. The Cross-Section of Volatility and Expected Returns Journal of Finance 51 259 99
  • Ang, A. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, 2009, 91:1, 1-23. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence Journal of Financial Economics 91 1 23
  • Bakshi, G., N. Kapadia, and D. Madan. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options. Review of Financial Studies, 2003, 16: 1, 101-43. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options Review of Financial Studies 16 101 43
  • Banz, R.W. The Relationship between Returns and Market Value of Common Stocks. Journal of Financial Economics, 1981, 9, 3-18. The Relationship between Returns and Market Value of Common Stocks Journal of Financial Economics 9 3 18
  • Barberis, N. and M. Huang. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. American Economic Review, 2008, 98:5, 2066-2100. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices American Economic Review 98 2066 2100
  • Black, F. Fact and Fantasy in the Use of Options. Financial Analysts Journal, 1975, 31:4, 36-41 and 61-72. Fact and Fantasy in the Use of Options Financial Analysts Journal 31 36 41
  • Black, F. and M. Scholes. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 1973, 81:3, 637-54. The Pricing of Options and Corporate Liabilities Journal of Political Economy 81 637 54
  • Boyer, B., T. Mitton, and K. Vorkink. Expected Idiosyncratic Skewness. Review of Financial Studies, 2010, 23:1, 169-202. Expected Idiosyncratic Skewness Review of Financial Studies 23 169 202
  • Brennan, M., T. Chordia, and A. Subrahmanyam. Alternative Factor Specifications, Security Characteristics and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 1998, 49, 345-73. Alternative Factor Specifications, Security Characteristics and the Cross-Section of Expected Stock Returns Journal of Financial Economics 49 345 73
  • Chabi-Yo, F. Pricing Kernels with Stochastic Skewness and Volatility Risk. Management Science, 2012, 58:3, 624-40. Pricing Kernels with Stochastic Skewness and Volatility Risk Management Science 58 624 40
  • Chaudhry, M.K., S. Maheshwari, and J.R. Webb. REITs and Idiosyncratic Risk. Journal of Real Estate Research, 2004, 26:2, 207-22. REITs and Idiosyncratic Risk Journal of Real Estate Research 26 207 22
  • Chan, S.H., J. Erickson, and K. Wang. Real Estate Investment Trusts: Structure, Performance, and Investment Opportunities. New York: Oxford University Press, 2003. Real Estate Investment Trusts: Structure, Performance, and Investment Opportunities
  • Chang, B.Y., P. Christoffersen, and K. Jacobs. Market Skewness Risk and the Cross-Section of Stock Returns. Journal of Financial Economics, 2013, 107:1, 46-68. Market Skewness Risk and the Cross-Section of Stock Returns Journal of Financial Economics 107 46 68
  • Chiang, K.C.H., X. Jiang, and M.L. Lee. REIT Idiosyncratic Risk. Journal of Property Research, 2009, 26:4, 349-66. REIT Idiosyncratic Risk Journal of Property Research 26 349 66
  • Chiang, K.C.H., M.L. Lee, and C.H. Wisen. On the Time-Series Properties of Real Estate Investment Trust Betas. Real Estate Economics, 2005, 33:2, 381-96. On the Time-Series Properties of Real Estate Investment Trust Betas Real Estate Economics 33 381 96
  • Corrado, C.J. and T. Su. Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices. Journal of Financial Research, 1996, 19:2, 175-92. Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices Journal of Financial Research 19 175 92
  • Corrado, C.J. and T. Su. Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices. Journal of Derivatives, 1997, 4:4, 8-19. Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices Journal of Derivatives 4 8 19
  • Cumby, R., S. Figlewski, and J. Hasbrouk. Forecasting Volatilities and Correlations with EGARCH Models. Journal of Derivatives, 1993, 1:2, 51-63. Forecasting Volatilities and Correlations with EGARCH Models Journal of Derivatives 1 51 63
  • Da, Z. and E. Schaumburg. The Pricing of Volatility Risk across Asset Classes. Federal Reserve Bank of New York Working Paper, 2011.
  • DeLisle, R.J., J.S. Doran, and D.R. Peterson. The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns. Washington State University Working Paper, 2011.
  • Fama, E.F. and K.R. French. The Cross-section of Expected Stock Returns. Journal of Finance, 1992, 47:2, 427-65. The Cross-section of Expected Stock Returns Journal of Finance 47 427 65
  • Fama, E.F. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 1993, 33:1, 3-56. Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 3 56
  • Fama, E.F. and J.D. MacBeth. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 1973, 81:3, 607-36. Risk, Return, and Equilibrium: Empirical Tests Journal of Political Economy 81 607 36
  • Fei, P., L. Ding, and Y. Deng. Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations. Journal of Portfolio Management, 2010, 36:2, 113-25. Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations Journal of Portfolio Management 36 113 25
  • Feng, Z., S.M. Price, and C.F. Sirmans. An Overview of Equity Real Estate Investment Trusts (REITs): 1993–2009. Journal of Real Estate Literature, 2011, 19:2, 307-43. An Overview of Equity Real Estate Investment Trusts (REITs): 1993–2009 Journal of Real Estate Literature 19 307 43
  • Fink, J.D., K.E. Fink, and H. He. Expected Idiosyncratic Volatility Measures and Expected Return. Financial Management, 2012, 41:3, 719-67. Expected Idiosyncratic Volatility Measures and Expected Return Financial Management 41 719 67
  • Fu, F. Idiosyncratic Risk and the Cross-section of Expected Stock Returns. Journal of Financial Economics, 2009, 91:1, 24-37. Idiosyncratic Risk and the Cross-section of Expected Stock Returns Journal of Financial Economics 91 24 37
  • Ghosh, C., M. Miles, and C.F. Sirmans. Are REITs Stocks? Real Estate Finance, 1996, 13, 46-53. Are REITs Stocks? Real Estate Finance 13 46 53
  • Gisiger, N. Risk-Neutral Probabilities Explained. ETH Zurich Working Paper, 2010.
  • 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, 20:2, 177-94. Further Evidence on the Integration of REIT, Bond, and Stock Returns Journal of Real Estate Finance and Economics 20 177 94
  • Guo, H., H. Kassa, and M.F. Ferguson. On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns. Journal of Financial and Quantitative Analysis, 2013, Forthcoming. On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns Journal of Financial and Quantitative Analysis
  • Jegadeesh, N. and S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 1993, 48, 65-91. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Journal of Finance 48 65 91
  • Kraus, A. and R. Litzenberger. Skewness Preference and the Valuation of Risk Assets. Journal of Finance, 1976, 31:4, 1085-1100. Skewness Preference and the Valuation of Risk Assets Journal of Finance 31 1085 1100
  • Lee, C.M.C. and B. Swaminathan. Price Momentum and Trading Volume. Journal of Finance, 2000, 55, 2017-70. Price Momentum and Trading Volume Journal of Finance 55 2017 70
  • Ling, D.C. and A. Naranjo. The Integration of Commercial Real Estate Markets and Stock Markets. Real Estate Economics, 1999, 27:3, 483-515. The Integration of Commercial Real Estate Markets and Stock Markets Real Estate Economics 27 483 515
  • Liow, K.H. and K. Addae-Dapaah. Idiosyncratic Risk, Market Risk and Correlation Dynamics in the U.S. Real Estate Investment Trusts. Journal of Housing Economics, 2010, 19, 205-18. Idiosyncratic Risk, Market Risk and Correlation Dynamics in the U.S. Real Estate Investment Trusts Journal of Housing Economics 19 205 18
  • Malkiel, B.G. and Y. Xu. Idiosyncratic Risk and Security Returns. University of Texas at Dallas Working Paper, 2002.
  • Merton, R.C. Option Pricing When Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 1976, 3:1&2, 125-44. Option Pricing When Underlying Stock Returns are Discontinuous Journal of Financial Economics 3 125 44
  • Merton, R.C. Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information. Journal of Finance, 1987, 42:3, 483-510. Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information Journal of Finance 42 483 510
  • Newey, W.K. and K.D. West. A Simple Positive-definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 1987, 55:3, 703-08. A Simple Positive-definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Econometrica 55 703 08
  • Ooi, J.T.L., J. Wang, and J.R. Webb. Idiosyncratic Risk and REIT Returns. Journal of Real Estate Finance and Economics, 2009, 38:4, 420-42. Idiosyncratic Risk and REIT Returns Journal of Real Estate Finance and Economics 38 420 42
  • Sias, R., L. Starks, and S. Titman, Changes in Institutional Ownership and Stock Returns: Assessment and Methodology. Journal of Business, 2006, 79:6, 2869-2910. Changes in Institutional Ownership and Stock Returns: Assessment and Methodology Journal of Business 79 2869 2910
  • Stattman, D. Book Values and Stock Returns. The Chicago MBA: A Journal of Selected Papers, 1980, 4, 25-45. Book Values and Stock Returns The Chicago MBA: A Journal of Selected Papers 4 25 45
  • Sun, Q.S. and K. Yung. Idiosyncratic Risk and Expected Returns of Equity Real Estate Investment Trusts. Journal of Real Estate Portfolio Management, 2010, 15:1, 45-57. Idiosyncratic Risk and Expected Returns of Equity Real Estate Investment Trusts Journal of Real Estate Portfolio Management 15 45 57
  • 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, 445-60. Does the REIT Stock Market Resemble the General Stock Market? Journal of Real Estate Research 10 445 60
  • Whaley, R.E. The Investor Fear Gauge. Journal of Portfolio Management, 2000, 26:3, 12-17. The Investor Fear Gauge Journal of Portfolio Management 26 12 17

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.