Idiosyncratic risk and spillover effect in REIT returns
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2018-11-01
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| Series: | International Journal of Strategic Property Management |
| Subjects: | |
| Online Access: | http://journals.vgtu.lt/index.php/IJSPM/article/view/6271 |