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THE PRICING OF VOLATILITY RISK IN CROSS-SECTIONAL EQUITY REIT RETURNS

Resource type
Graduating extended essay / Research project
Date created
2015-12
Authors/Contributors
Author: He, Kaiye
Author: Chen, Mengke
Abstract
This study examines the pricing of volatility risk in the cross-sectional equity Real Estate Investment Trust (REIT) stocks returns over the 2002-2014 period. The volatility risk of stock returns is decomposed into systematic volatility and idiosyncratic volatility.We estimate the systematic risk by the residual of VIX after applying GARCH (1,1). We estimate idiosyncratic risk by using the residual from Fama and French three-factor model.Overall, we conclude that neither systematic volatility nor idiosyncratic volatility are directly priced in the equity REIT returns over time.

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Copyright statement
Copyright is held by the author(s).
Permissions
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Graduate student (Masters)
Peer reviewed?
No
Language
English
Member of collection
Beedie School of Business: Segal Graduate School Final Projects
Download file Size
Chen, Mengke and He, Kaiye.pdf 1.6 MB

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