{"id":"https://openalex.org/W33554388","doi":"https://doi.org/10.1080/10835547.2013.12089947","title":"Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market","display_name":"Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W33554388","doi":"https://doi.org/10.1080/10835547.2013.12089947","mag":"33554388"},"language":"en","primary_location":{"id":"doi:10.1080/10835547.2013.12089947","doi":"https://doi.org/10.1080/10835547.2013.12089947","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10835547.2013.12089947","pdf_url":null,"source":{"id":"https://openalex.org/S2764953858","display_name":"Journal of Real Estate Portfolio Management","issn_l":"1083-5547","issn":["1083-5547","2691-1205"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Real Estate Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072603104","display_name":"Claudio Giannotti","orcid":"https://orcid.org/0000-0001-5443-3811","observed_orcids":["https://orcid.org/0000-0001-5443-3811"]},"institutions":[{"id":"https://openalex.org/I4210136227","display_name":"LUM Jean Monnet University","ror":"https://ror.org/03gskda23","country_code":"IT","type":"education","lineage":["https://openalex.org/I4210136227"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Claudio Giannotti","raw_affiliation_strings":["University LUM Jean Monnet, Casamassima, BA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University LUM Jean Monnet, Casamassima, BA","institution_ids":["https://openalex.org/I4210136227"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5081243485","display_name":"Gianluca Mattarocci","orcid":"https://orcid.org/0000-0001-5639-8618","observed_orcids":["https://orcid.org/0000-0001-5639-8618"]},"institutions":[{"id":"https://openalex.org/I116067653","display_name":"University of Rome Tor Vergata","ror":"https://ror.org/02p77k626","country_code":"IT","type":"education","lineage":["https://openalex.org/I116067653"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Gianluca Mattarocci","raw_affiliation_strings":["University of Rome Tor Vergata, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Rome Tor Vergata, Rome, Italy","institution_ids":["https://openalex.org/I116067653"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.3035,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.92113878,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"19","issue":"2","first_page":"137","last_page":"153"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8960000276565552,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8960000276565552,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.05609999969601631,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.01489999983459711,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.9430000185966492},{"id":"https://openalex.org/keywords/risk-adjusted-performance-measures","display_name":"risk-adjusted performance measures","score":0.8360000252723694},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.9520000219345093},{"id":"https://openalex.org/keywords/non-normal-returns","display_name":"non-normal returns","score":0.875},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.5839999914169312},{"id":"https://openalex.org/keywords/diversified-portfolios","display_name":"diversified portfolios","score":0.5400000214576721},{"id":"https://openalex.org/keywords/value-weighted-portfolios","display_name":"value-weighted portfolios","score":0.765999972820282},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"investment strategy","score":0.460999995470047}],"concepts":[{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.8578059673309326},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.83847576379776},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6724442839622498},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.653719961643219},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5559815168380737},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5384568572044373},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4415079355239868},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.43856045603752136},{"id":"https://openalex.org/C44723521","wikidata":"https://www.wikidata.org/wiki/Q746086","display_name":"Treynor ratio","level":4,"score":0.42115676403045654},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.40077799558639526},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.25119054317474365},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1194811463356018},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/10835547.2013.12089947","doi":"https://doi.org/10.1080/10835547.2013.12089947","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10835547.2013.12089947","pdf_url":null,"source":{"id":"https://openalex.org/S2764953858","display_name":"Journal of Real Estate Portfolio Management","issn_l":"1083-5547","issn":["1083-5547","2691-1205"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Real Estate Portfolio Management","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:repmxx:v:19:y:2013:i:2:p:137-153","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/10835547.2013.12089947","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:art.torvergata.it:2108/96293","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2108/96293","pdf_url":null,"source":{"id":"https://openalex.org/S4306400993","display_name":"Cineca Institutional Research Information System (Tor Vergata University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I116067653","host_organization_name":"University of Rome Tor Vergata","host_organization_lineage":["https://openalex.org/I116067653"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W103109176","https://openalex.org/W587809056","https://openalex.org/W609581217","https://openalex.org/W1500351822","https://openalex.org/W1533305974","https://openalex.org/W1557053574","https://openalex.org/W1886320420","https://openalex.org/W1977014628","https://openalex.org/W1984083540","https://openalex.org/W1997589625","https://openalex.org/W2000736652","https://openalex.org/W2016334400","https://openalex.org/W2024723898","https://openalex.org/W2028203519","https://openalex.org/W2032757743","https://openalex.org/W2037934447","https://openalex.org/W2057445524","https://openalex.org/W2078480704","https://openalex.org/W2079630967","https://openalex.org/W2086311721","https://openalex.org/W2093183805","https://openalex.org/W2094304142","https://openalex.org/W2098996963","https://openalex.org/W2110065044","https://openalex.org/W2119346952","https://openalex.org/W2120374421","https://openalex.org/W2136120210","https://openalex.org/W2142946669","https://openalex.org/W2153580489","https://openalex.org/W2159335898","https://openalex.org/W2168745915","https://openalex.org/W2175188600","https://openalex.org/W2198904600","https://openalex.org/W2332498091","https://openalex.org/W3014353799","https://openalex.org/W3125334592","https://openalex.org/W7134132989"],"related_works":["https://openalex.org/W4251261560","https://openalex.org/W2261448604","https://openalex.org/W2210341761","https://openalex.org/W3200545947","https://openalex.org/W2225575520","https://openalex.org/W2906088087","https://openalex.org/W2772973974","https://openalex.org/W7061825623","https://openalex.org/W2782750445","https://openalex.org/W2135868377"],"abstract_inverted_index":{"Executive":[0],"Summary.":[1],"The":[2,59,130],"returns":[3],"of":[4,55,79,86,100,110,117,158],"real":[5],"estate":[6],"investments":[7],"trusts":[8],"(REITs)":[9],"in":[10,103,138],"the":[11,25,39,53,56,63,74,92,98,108,122,144,155],"United":[12],"States":[13],"are":[14,70],"not":[15,21,51],"normally":[16],"distributed":[17],"and":[18,143],"should":[19],"therefore":[20],"be":[22],"analyzed":[23],"using":[24,44,126],"standard":[26],"mean-variance":[27],"approach.":[28],"In":[29],"this":[30],"paper,":[31],"we":[32],"compare":[33],"REIT":[34,140],"performance":[35,46,142,157],"rankings":[36,64,102],"based":[37],"on":[38,120],"Sharpe":[40,75,93],"ratio":[41],"with":[42,73,89,115],"those":[43,116],"risk-adjusted":[45],"(RAP)":[47],"measures":[48,69],"that":[49,62,133],"do":[50],"assume":[52],"normality":[54],"return":[57],"distribution.":[58],"results":[60,109,131],"demonstrate":[61,132],"obtained":[65],"by":[66,106,161],"different":[67,127],"risk":[68],"significantly":[71],"correlated":[72],"measure":[76,152],"but":[77],"some":[78],"them":[80],"can":[81,153],"show":[82],"a":[83,111,148],"high":[84],"degree":[85],"time":[87],"persistence":[88],"respect":[90],"to":[91,146],"index.":[94],"We":[95],"also":[96],"study":[97],"usefulness":[99],"RAP":[101,128,151],"selecting":[104],"REITs":[105,124],"comparing":[107],"na\u00efve":[112],"diversified":[113],"portfolio":[114,141],"portfolios":[118,167],"concentrating":[119],"only":[121],"top":[123],"identified":[125],"measures.":[129],"past":[134],"information":[135],"is":[136],"useful":[137],"improving":[139],"choice":[145],"consider":[147],"more":[149],"complex":[150],"increase":[154],"yearly":[156],"investment":[159],"strategy":[160],"around":[162],"1%\u20132%,":[163],"especially":[164],"for":[165],"value-weighted":[166],"and/or":[168],"multiple-year":[169],"horizons.":[170]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":3}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}