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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Bibliographic Details
Published inApplied economics Vol. 54; no. 53; pp. 6179 - 6201
Main Authors Chaudhry, Mukesh K., Bhargava, Vivek, Weeks, Henry Shelton
Format Journal Article
LanguageEnglish
Published London Routledge 14.11.2022
Taylor & Francis Ltd
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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.
ISSN:0003-6846
1466-4283
DOI:10.1080/00036846.2022.2059438