REITs’ Stock Return Volatility: Property Market Risk Versus Equity Market Risk

Li, Lingxiao; Zhu, Bing

doi:10.1007/s11146-022-09901-4

Cited by 3 publications

(3 citation statements)

References 42 publications

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“…First, our study contributes to REIT literature exploring the geographical characteristics of REITs. Previous studies have investigated REITs' various regional features, including geographical concentration (Ling et al, 2018;Milcheva et al, 2021), local investors (Ling et al, 2021), and locally segmented asset pricing features (Li & Zhu, 2022;Feng & Wu, 2022;Song & Liow, 2022;Fisher et al, 2022). Our findings provide another geographical asset pricing feature by showing that stock returns of REITs are significantly discounted by locally isolated market uncertainty.…”

Section: Literature Reviewmentioning

confidence: 53%

“…The underlying asset of REITs is real estate, which is one of the most representative local assets (Tuzel & Zhang, 2017). Thus, the fluctuation of the local economy is highly associated with the performance of real estate held by REITs (Feng & Wu, 2022;Li & Zhu, 2022). Given the significant impact on the local economy, previous studies have also shown that REIT investors actively respond to geographical information about REITs (Ling et al, 2021;Milcheva et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

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Does Local Economic Uncertainty Matter for Risk of Property Companies? Evidence From Us Reits

Song

2023

International Journal of Strategic Property Management

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With the growing number of publicly listed property companies worldwide, investors are increasingly interested in assessing the risks of such real estate companies in the stock market. This study aims to investigate the risk of US equity real estate investment trusts (REITs) in the local market context. Using US equity REITs data from 1997 to 2020, this study examines the impact of local economic uncertainty (LEU) on risk of REITs. To measure LEU, we first exploit textual analysis to extract geographical information from REITs’ annual financial reports (10-K filings) and construct state-level regional exposure for each firm. We then obtain LEU by incorporating the regional exposure with local market uncertainty based on locally headquartered firms. In the empirical results, we find that REITs with higher LEU are strongly and positively associated with higher future risks. This positive relationship is robust to a variety of alternative risk and LEU measures. Moreover, the effects of LEU are stronger for geographically concentrated REITs and LEU is positively priced by investors.

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Section: Literature Reviewmentioning

confidence: 53%

Section: Introductionmentioning

confidence: 99%

Does Local Economic Uncertainty Matter for Risk of Property Companies? Evidence From Us Reits

Song

2023

International Journal of Strategic Property Management

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show abstract

“…For example, attention should be paid to factors such as the total asset size of REITs, the total return on investment of the trust fund, and the net income profit. At the same time, it is also necessary to understand the requirements for investors in such products, for example, REITs may set investment prerequisites such as minimum subscription amount, convertible investment share and investment period [3].…”

Section: Introductionmentioning

confidence: 99%

Bound to Become a Global Trend of the Future: Analysis of REITS

Wang

2023

Advances in Economics, Business and Management Research

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In recent years, the real estate investment trusts as they are commonly known are investment vehicles known for their low risk, low volatility, moderate returns, and high liquidity nature for investors. Contemporarily, REITs invest primarily in real estate and tend to receive regular rental income from real estate owned and managed by the trust. REITs have only recently begun to emerge in many countries. Since the success of REITs in the United States, many countries have begun to plan to join the REIT regime. On this basis, this study mainly investigates the reasons for the success of REITs mainly in the United States, the successful implementation of REIT tools in Japan and Singapore, and analyzes the global trend of REITs in the future in developing countries, including China. According to the evaluations, the suggestions and implications will be presented following the analysis. Overall, these results shed light on guiding further exploration of development of REITs.

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Risk assessment of infrastructure REITs projects based on cloud model: a case study of China

Wang

Gong

Zhang

et al. 2023

ECAM

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PurposeThe need for infrastructure is growing as urbanization picks up speed, and the infrastructure REITs financing model has been crucial in reviving the vast infrastructure stock, alleviating the pressure on government funds and diversifying investment entities. This study aims to propose a framework to better assess the risks of infrastructure REITs, which can serve for the researchers and the policy makers to propose risk mitigation strategies and policy recommendations more purposively to facilitate successful implementation and long-term development of infrastructure REITs.Design/methodology/approachThe infrastructure REITs risk evaluation index system is established through literature review and factor analysis, and the optimal comprehensive weight of the index is calculated using the combination weight. Then, a risk evaluation cloud model of infrastructure REITs is constructed, and experts quantify the qualitative language of infrastructure REITs risks. This paper verifies the feasibility and effectiveness of the model by taking a basic REITs project in China as an example. This paper takes infrastructure REITs project in China as an example, to verify the feasibility and effectiveness of the cloud evaluation method.FindingsThe research outcome shows that infrastructure REITs risks manifest in the risk of policy and legal, underlying asset, market, operational and credit. The main influencing factors in terms of their weights are tax policy risk, operation and management risk, liquidity risk, termination risk and default risk. The financing project is at a higher risk, and the probability of risk is 64.2%.Originality/valueThis research contributes to the existing body of knowledge by supplementing a set of scientific and practical risk evaluation methods to assess the potential risks of infrastructure REITs project, which contributes the infrastructure financing risk management system. Identify key risk factors for infrastructure REITs with underlying assets, which contributes to infrastructure REITs project management. This research can help relevant stakeholders to control risks throughout the infrastructure investment and financing life cycle, provide them with reference for investment and financing decision-making and promote more sustainable and healthy development of infrastructure REITs in developing countries.

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REITs’ Stock Return Volatility: Property Market Risk Versus Equity Market Risk

Cited by 3 publications

References 42 publications

Does Local Economic Uncertainty Matter for Risk of Property Companies? Evidence From Us Reits

Does Local Economic Uncertainty Matter for Risk of Property Companies? Evidence From Us Reits

Bound to Become a Global Trend of the Future: Analysis of REITS

Risk assessment of infrastructure REITs projects based on cloud model: a case study of China

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