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The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity

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  • Zeno Adams
  • Roland Füss
  • Felix Schindler

Abstract

type="main"> 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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  • Zeno Adams & Roland Füss & Felix Schindler, 2015. "The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 67-100, March.
    • Handle: RePEc:bla:reesec:v:43:y:2015:i:1:p:67-100
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    8. Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," Post-Print hal-03592183, HAL.
    9. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
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    13. Yufei Cao, 2021. "Measuring systemic risk and dependence structure between real estates and banking sectors in China using a CoVaR‐copula method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5930-5947, October.
    14. Christian Eckert, 2020. "Risk and risk management of spillover effects: Evidence from the literature," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 75-104, March.
    15. Bing Zhu & Stanimira Milcheva, 2020. "The Pricing of Spatial Linkages in Companies’ Underlying Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 443-475, October.
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    18. Jeongseop Song & Kim Hiang Liow, 2023. "Industrial tail exposure risk and asset price: Evidence from US REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1209-1245, September.

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