Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287805 
Year of Publication: 
2023
Citation: 
[Journal:] Real Estate Economics [ISSN:] 1540-6229 [Volume:] 51 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2023 [Pages:] 372-407
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Subjects: 
asset pricing
REITs
uncertainty
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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