IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2024-138.html
   My bibliography  Save this paper

Geopolitical Risk and the Dynamics of REITs Returns

Author

Listed:
  • Alain Coen
  • Aurelie Desfleurs

Abstract

The aim of this study is to analyze the relative importance of geopolitical risk (GPR), as introduced by Caldara and Iacoviello (2022), on the dynamics of U.S. REITs returns. Using an extended conditional version of Merton (1973)’s capital asset pricing model, we highlight the role played by GPR and its two components, geopolitical acts (GPA) and geopolitical threats (GPT), on the expected returns of securitized real estate. Our robust results, report the level and the significancy of the geopolitical risk metrics on the decomposition of REITs returns grouped into different portfolios ( built from CRSP/Ziman series). We shed light on the link between the characteristics of REITs and the relative importance of geopolitical risk during the last decades.

Suggested Citation

  • Alain Coen & Aurelie Desfleurs, 2024. "Geopolitical Risk and the Dynamics of REITs Returns," ERES eres2024-138, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2024-138
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2024-138
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Asset Pricing; Geopolitical Risks; Gmm; REITs;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2024-138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.