Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/80267
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dc.contributorDepartment of Building and Real Estate-
dc.creatorHui, ECM-
dc.creatorWang, ZY-
dc.date.accessioned2019-01-30T09:14:33Z-
dc.date.available2019-01-30T09:14:33Z-
dc.identifier.issn1648-715Xen_US
dc.identifier.urihttp://hdl.handle.net/10397/80267-
dc.language.isoenen_US
dc.publisherVilnius Gediminas Technical Universityen_US
dc.rightsCopyright © 2018 The Author(s). Published by VGTU Pressen_US
dc.rightsThis 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.en_US
dc.rightsThe 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.2018.6271en_US
dc.subjectAsymmetric adjustmenten_US
dc.subjectIdiosyncratic risken_US
dc.subjectRisk-return modelen_US
dc.subjectSpillover effecten_US
dc.subjectVariance decompositionen_US
dc.titleIdiosyncratic risk and spillover effect in reit returnsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage457en_US
dc.identifier.epage470en_US
dc.identifier.volume22en_US
dc.identifier.issue6en_US
dc.identifier.doi10.3846/ijspm.2018.6271en_US
dcterms.abstractNowadays, 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.-
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationInternational journal of strategic property management, 2018, v. 22, no. 6, p. 457-470-
dcterms.isPartOfInternational journal of strategic property managementprint+eissn-
dcterms.issued2018-
dc.identifier.isiWOS:000450268700002-
dc.identifier.scopus2-s2.0-85064710674-
dc.identifier.eissn1648-9179en_US
dc.description.validate201901 bcrc-
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_IR/PIRAen_US
dc.description.pubStatusPublisheden_US
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