Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/80267
Title: Idiosyncratic risk and spillover effect in reit returns
Authors: Hui, ECM 
Wang, ZY
Keywords: Asymmetric adjustment
Idiosyncratic risk
Risk-return model
Spillover effect
Variance decomposition
Issue Date: 2018
Publisher: Vilnius Gediminas Technical University
Source: International journal of strategic property management, 2018, v. 22, no. 6, p. 457-470 How to cite?
Journal: International journal of strategic property managementprint+eissn 
Abstract: Nowadays, idiosyncratic risk has substantial impacts on the risk control of portfolio construction. However, little research has been done on the spillover effect of idiosyncratic risk from global markets in REIT returns. A risk-return model is developed to examine the effects of idiosyncratic risk and its spillover on the short-run dynamics of REIT returns in 10 major REIT markets between 2001 and 2014. Variance decomposition provides evidence that idiosyncratic risk exceeds market risk most of the time. The risk-return models demonstrate that the spillover effect of idiosyncratic risk globally played a more significant role than idiosyncratic risk in the return dynamics during the subprime mortgage crisis. Furthermore, we analyse the asymmetric responses of volatility in REIT returns. The results show that the Netherlands is the most strongly preferred market in terms of earning excess returns, while the US market is unique in that the idiosyncratic risk and spillover effect tend to enlarge the fluctuations in REIT returns.
URI: http://hdl.handle.net/10397/80267
ISSN: 1648-715X
EISSN: 1648-9179
DOI: 10.3846/ijspm.2018.6271
Rights: Copyright © 2018 The Author(s). Published by VGTU Press
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
The following publication Hui, E.C.M., & Wang, Z.Y. (2018). Idiosyncratic risk and spillover effect in reit returns. International journal of strategic property management, 22 (6), 457-470 is available at https://dx.doi.org/10.3846/ijspm.2018.6271
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