Idiosyncratic Risk and Expected Returns in REITs
The Modern Portfolio Theory (MPT) argues that all unsystematic risk can be diversified away thus there should be no relationship between idiosyncratic risk and return. Ooi, Wang and Webb (2009) employ the Fama-French (1993) three-factor model (FF3) to estimate the level of nonsystematic return vola...
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Digital Archive @ GSU
2012
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| Online Access: | http://digitalarchive.gsu.edu/real_estate_diss/12 http://digitalarchive.gsu.edu/cgi/viewcontent.cgi?article=1011&context=real_estate_diss |