Idiosyncratic Risk and Real Estate Securities’ Return

  • Chayakrit Asvathitanont Thammasat University


Though investors should be prized mostly on systematic risk, not idiosyncratic risk, since the first risk could not be eliminated while the second risk could be easily reduced or fully diversified, this principle does not work properly on the real estate security investment. Adopting CAPM Test in both Thailand and Singapore Exchanges during 2004 to 2014, this paper discovers that idiosyncratic risk plays astounding role as the important determinant of real estate securities’ returns while systematic risk plays less important role. The result suggests that investors should pay more attention on the specific characteristics of real estate securities for their better return.