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Impact of economic forces and fundamental variables on REIT returns

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  • Mukesh K. Chaudhry
  • Vivek Bhargava
  • Henry Shelton Weeks

Abstract

We examine the impacts of economic forces and fundamental variables on REIT returns. Our models endogenously select breakpoints to distinguish the heterogenous nature of the underlying properties with varying risk-return characteristics. Default risk premium and unanticipated inflation had an adverse effect, while GDP and federal funds rate had a positive effect on REITs. Market, size and value risk-premiums are significant for time periods that include the GFC but not for subsequent periods. Momentum is negative and significant for extreme events, and insignificant during calm periods. Higher beta values during the GFC followed by lower beta values confirm ‘leveraging’ and ‘deleveraging’ effects.

Suggested Citation

  • Mukesh K. Chaudhry & Vivek Bhargava & Henry Shelton Weeks, 2022. "Impact of economic forces and fundamental variables on REIT returns," Applied Economics, Taylor & Francis Journals, vol. 54(53), pages 6179-6201, November.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:53:p:6179-6201
    DOI: 10.1080/00036846.2022.2059438
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    Cited by:

    1. Bosupeng, Mpho & Naranpanawa, Athula & Su, Jen-Je, 2024. "Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach," Economic Modelling, Elsevier, vol. 130(C).
    2. Wu, Ming-Che & Wang, Chien-Ming, 2024. "Revisiting the nexus of REITs returns and macroeconomic variables," Finance Research Letters, Elsevier, vol. 59(C).

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