Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/287805 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Real Estate Economics [ISSN:] 1540-6229 [Volume:] 51 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2023 [Pages:] 372-407
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
We provide a systematic study of how financial and real estate uncertainty affect the aggregate return performance of the U.S. REIT market from 1994 to 2017. A temporal causality analysis reveals a negative uncertainty impact on REIT returns. The asset pricing analysis confirms the predictive relation and suggests that REITs are statistically significantly exposed to changes in market‐wide uncertainty, for which investors require a return compensation. We also identify economic state variables to explain time‐varying uncertainty exposures as well as periodic hedging characteristics of REITs. Finally, we find evidence that the source of uncertainty matters for compensating expected REIT returns.
Schlagwörter: 
asset pricing
REITs
uncertainty
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Dokumentversion: 
Published Version

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.