DOES DEFAULT RISK MATTER FOR INVESTORS IN REITS-Reference-Cited by-同舟云学术

DOES DEFAULT RISK MATTER FOR INVESTORS IN REITS

Published:2020-09-23 Issue:5 Volume:24 Page:1-14
ISSN:1648-715X
Container-title:International Journal of Strategic Property Management
language:
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Author:

Sha Yezhou¹,Wang Zilong²,Bu Ziwen³,Mansley Nick²

Affiliation:

1. School of Finance, Capital University of Economics and Business, Beijing, China

2. Department of Land Economy, University of Cambridge, Cambridge, UK

3. Department of Finance, University of Birmingham, Birmingham, UK

Abstract

We investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum. We also evaluate a large number of potential explanations for the negative relationship between default risk and subsequent stock returns. We do not find robust evidence that the default risk premium can be explained by firm size, book-to-market equity, asset growth and idiosyncratic volatility. However, CAPM beta shows some promise in explaining the default risk premium. Our results shed further light on the role of default risk in investment in REITs.

Publisher

Vilnius Gediminas Technical University

Subject

Strategy and Management

Reference44 articles.

1. The Cross-Section of Volatility and Expected Returns

2. The Other Side of Value: The Effect of Quality on Price and Return in Real Estate

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4. The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing

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