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Can Prudence and Moderation Explain Why Investors Simultaneously Love and Hate Reits?

https://doi.org/10.2139/ssrn.4977978
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Outgoing claims: the papers this work cites, builds on, or argues with.

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A conditional-SGT-VaR approach with alternative GARCH models
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All their eggs in one basket: Portfolio diversification of US households
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Volatility jumps and their determinants in REIT returns
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.014openalex-snapshot
Maxing out: Stocks as lotteries and the cross-section of expected returns
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.013openalex-snapshot
Have we solved the idiosyncratic volatility puzzle?
inferredcites →https://doi.org/10.1016/j.jfineco.2016.06.004openalex-snapshot
Gambling preference and individual equity option returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.003openalex-snapshot
Average skewness matters
inferredcites →https://doi.org/10.1016/j.jimonfin.2012.05.017openalex-snapshot
Are REITs real estate? Evidence from international sector level data
inferredcites →https://doi.org/10.1016/j.najef.2021.101426openalex-snapshot
Forecasting the Value-at-Risk of REITs using realized volatility jump models
inferredcites →https://doi.org/10.1016/s0140-9883(03)00052-5openalex-snapshot
Market risk in commodity markets: a VaR approach
inferredcites →https://doi.org/10.1016/s0378-4266(98)00119-8openalex-snapshot
Skewness in financial returns
inferredcites →https://doi.org/10.1023/a:1020294523516openalex-snapshot
Earnings Surprises, Growth Expectations, and Stock Returns or Don't Let an Earnings Torpedo Sink Your Portfolio
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Implied Volatility Spreads and Expected Market Returns
inferredcites →https://doi.org/10.1080/09599910500453798openalex-snapshot
Co‐skewness and Co‐kurtosis in Global Real Estate Securities
inferredcites →https://doi.org/10.1080/10835547.1993.12090695openalex-snapshot
Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison
inferredcites →https://doi.org/10.1080/10835547.2003.12089684openalex-snapshot
Public and Private Real Estate in a Mixed-Asset Portfolio
inferredcites →https://doi.org/10.1080/10835547.2009.12089846openalex-snapshot
The Role of Co-Kurtosis in the Pricing of Real Estate
inferredcites →https://doi.org/10.1080/10835547.2017.12089998openalex-snapshot
On the Interest Rate Sensitivity of REITs: Evidence from Twenty Years of Daily Data
inferredcites →https://doi.org/10.1080/10835547.2020.1827623openalex-snapshot
The Determinants of Conditional Skewness in REIT Returns
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/jjfinec/nbi018openalex-snapshot
Autoregressive Conditional Kurtosis
inferredcites →https://doi.org/10.1093/revfin/hhm011openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.1093/rfs/hhi033openalex-snapshot
Household Portfolio Diversification: A Case for Rank-Dependent Preferences
inferredcites →https://doi.org/10.1093/rfs/hhn053openalex-snapshot
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
inferredcites →https://doi.org/10.1093/rfs/hhp041openalex-snapshot
Expected Idiosyncratic Skewness
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1540-6229.12256openalex-snapshot
Option Trading and REIT Returns
inferredcites →https://doi.org/10.1111/1540-6229.12402openalex-snapshot
Industrial tail exposure risk and asset price: Evidence from US REITs
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-snapshot
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1967.tb01651.xopenalex-snapshot
RISK AND THE REQUIRED RETURN ON EQUITY
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03509.xopenalex-snapshot
On The Direction of Preference for Moments of Higher Order Than The Variance
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb01081.xopenalex-snapshot
On Diversification Given Asymmetry in Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01483.xopenalex-snapshot
Who Gambles in the Stock Market?
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01795.xopenalex-snapshot
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6288.1997.tb00426.xopenalex-snapshot
Co‐Kurtosis and Capital Asset Pricing
inferredcites →https://doi.org/10.1198/073500104000000244openalex-snapshot
Testing Asset Pricing Models With Coskewness
inferredcites →https://doi.org/10.1257/aer.89.5.1279openalex-snapshot
Do Investors Trade Too Much?
inferredcites →https://doi.org/10.1257/aer.98.5.2066openalex-snapshot
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.1287/mnsc.1090.1063openalex-snapshot
Volatility Spreads and Expected Stock Returns
inferredcites →https://doi.org/10.1287/mnsc.1100.1237openalex-snapshot
Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
inferredcites →https://doi.org/10.1287/mnsc.2019.3314openalex-snapshot
Distressed Stocks in Distressed Times
inferredcites →https://doi.org/10.1561/104.00000133openalex-snapshot
Asset Pricing with Systematic Skewness: Two Decades Later
inferredcites →https://doi.org/10.1561/104.00000134openalex-snapshot
Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-snapshot
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1879968openalex-snapshot
REITS and Underlying Real Estate Markets: Is There a Link?
inferredcites →https://doi.org/10.2139/ssrn.1993289openalex-snapshot
Implied Volatility Spreads and Expected Market Returns
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2139/ssrn.649421openalex-snapshot
Stocks as Lotteries: the Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.2139/ssrn.661481openalex-snapshot
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
inferredcites →https://doi.org/10.2307/2527081openalex-snapshot
Autoregressive Conditional Density Estimation
inferredcites →https://doi.org/10.2307/2938334openalex-snapshot
Precautionary Saving in the Small and in the Large
inferredcites →https://doi.org/10.2307/2978737openalex-snapshot
The Asset Structure of Individual Portfolios and Some Implications for Utility Functions
inferredcites →https://doi.org/10.3905/jpm.2003.319914openalex-snapshot
Property, Common Stock, and Property Shares
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