Impact of economic forces and fundamental variables on REIT returns
We examine the impacts of economic forces and fundamental variables on REIT returns. Our models endogenously select breakpoints to distinguish the heterogenous nature of the underlying properties with varying risk-return characteristics. Default risk premium and unanticipated inflation had an advers...
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Published in | Applied economics Vol. 54; no. 53; pp. 6179 - 6201 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
London
Routledge
14.11.2022
Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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Summary: | We examine the impacts of economic forces and fundamental variables on REIT returns. Our models endogenously select breakpoints to distinguish the heterogenous nature of the underlying properties with varying risk-return characteristics. Default risk premium and unanticipated inflation had an adverse effect, while GDP and federal funds rate had a positive effect on REITs. Market, size and value risk-premiums are significant for time periods that include the GFC but not for subsequent periods. Momentum is negative and significant for extreme events, and insignificant during calm periods. Higher beta values during the GFC followed by lower beta values confirm 'leveraging' and 'deleveraging' effects. |
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ISSN: | 0003-6846 1466-4283 |
DOI: | 10.1080/00036846.2022.2059438 |