The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity |
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| Authors: | Zeno Adams Roland Füss Felix Schindler |
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| Affiliation: | 1. Swiss Institute of Banking and Finance, University of St.Gallen, CH‐9000, St. Gallen, Switzerland;2. Swiss Institute of Banking and Finance (s/bf), University of St.Gallen, D‐68161 Mannheim, Germany;3. Center for Real Estate Studies (CRES), Steinbeis University Berlin (SHB), D‐10247 Berlin, D‐68161 Mannheim, Germany |
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| Abstract: | In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state‐dependent sensitivity value‐at‐risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers. |
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