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Distress Risk and Stock Returns on Equity REITs

The journal of real estate finance and economics, 2021-04, Vol.62 (3), p.455-480 [Peer Reviewed Journal]

Springer Science+Business Media, LLC, part of Springer Nature 2020 ;Springer Science+Business Media, LLC, part of Springer Nature 2020. ;ISSN: 0895-5638 ;EISSN: 1573-045X ;DOI: 10.1007/s11146-020-09756-7

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  • Title:
    Distress Risk and Stock Returns on Equity REITs
  • Author: Shen, Jianfu
  • Subjects: Avoidance behavior ; Default ; Economics ; Economics and Finance ; Equity ; Financial Services ; Institutional investments ; Psychological distress ; Regional/Spatial Science ; REITs ; Risk ; Risk exposure ; Stocks
  • Is Part Of: The journal of real estate finance and economics, 2021-04, Vol.62 (3), p.455-480
  • Description: This paper explores the relationship between distress risk and stock return on equity REITs from 1982 to 2017. The distress risk measures such as expected default frequency and failure probability can effectively predict financial failures in the REITs. The distressed REITs earn lower returns than the safe REITs, and the underperformance becomes even worse after correcting the value and size risks. The findings indicate that the distress risk is not a systematic risk or rewarded with a risk premium in the REIT market. The distress anomaly from long the safest REITs and short the most distressed REITs can be explained by the institutional investments in the REITs and the investors’ risk aversion.
  • Publisher: New York: Springer US
  • Language: English
  • Identifier: ISSN: 0895-5638
    EISSN: 1573-045X
    DOI: 10.1007/s11146-020-09756-7
  • Source: ProQuest Central
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