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Impact of economic forces and fundamental variables on REIT returns
Journal article   Peer reviewed

Impact of economic forces and fundamental variables on REIT returns

Mukesh K. Chaudhry, Vivek Bhargava and Henry Shelton Weeks
Applied economics, Vol.ahead-of-print(ahead-of-print), pp.1-23
05-21-2022

Abstract

breakpoints Economic and fundamental variables leveraging effects R3 R330 sensitivity of 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 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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UN Sustainable Development Goals (SDGs)

This output has contributed to the advancement of the following goals:

#8 Decent Work and Economic Growth

Source: SDGs in the Output

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