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DOES LOCAL ECONOMIC UNCERTAINTY MATTER FOR RISK OF PROPERTY COMPANIES? EVIDENCE FROM US REITs

International journal of strategic property management, 2023-03, Vol.27 (2), p.105 [Peer Reviewed Journal]

COPYRIGHT 2023 Vilnius Gediminas Technical University ;2023. This work is published under https://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 1648-715X ;EISSN: 1648-9179 ;DOI: 10.3846/ijspm.2023.19092

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  • Title:
    DOES LOCAL ECONOMIC UNCERTAINTY MATTER FOR RISK OF PROPERTY COMPANIES? EVIDENCE FROM US REITs
  • Author: Song, Jeongseop
  • Subjects: Annual reports ; Cash flow ; Enriched uranium ; Literature reviews ; Local economy ; local market ; Portfolio management ; Real estate investment trusts ; real estate investment trusts (REITs) ; REITs ; risk ; Securities markets ; Stock markets ; uncertainty ; Volatility
  • Is Part Of: International journal of strategic property management, 2023-03, Vol.27 (2), p.105
  • Description: With the growing number of publicly listed property companies worldwide, investors are increasingly interested in assessing the risks of such real estate companies in the stock market. This study aims to investigate the risk of US equity real estate investment trusts (REITs) in the local market context. Using US equity REITs data from 1997 to 2020, this study examines the impact of local economic uncertainty (LEU) on risk of REITs. To measure LEU, we first exploit textual analysis to extract geographical information from REITs' annual financial reports (10-K filings) and construct state-level regional exposure for each firm. We then obtain LEU by incorporating the regional exposure with local market uncertainty based on locally headquartered firms. In the empirical results, we find that REITs with higher LEU are strongly and positively associated with higher future risks. This positive relationship is robust to a variety of alternative risk and LEU measures. Moreover, the effects of LEU are stronger for geographically concentrated REITs and LEU is positively priced by investors. Our findings suggest that local market uncertainty is an important driver of risk of publicly listed property companies.
  • Publisher: Vilnius: Vilnius Gediminas Technical University
  • Language: English
  • Identifier: ISSN: 1648-715X
    EISSN: 1648-9179
    DOI: 10.3846/ijspm.2023.19092
  • Source: DOAJ Directory of Open Access Journals
    ProQuest Central
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