Does default risk matter for investors in REITs
Published version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Sha, Y
Wang, Z
Bu, Z
Mansley, N
Abstract
jats:pWe investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum. We also evaluate a large number of potential explanations for the negative relationship between default risk and subsequent stock returns. We do not find robust evidence that the default risk premium can be explained by firm size, book-to-market equity, asset growth and idiosyncratic volatility. However, CAPM beta shows some promise in explaining the default risk premium. Our results shed further light on the role of default risk in investment in REITs.</jats:p>
Description
Keywords
3502 Banking, Finance and Investment, 3504 Commercial Services, 35 Commerce, Management, Tourism and Services, Prevention
Journal Title
International Journal of Strategic Property Management
Conference Name
Journal ISSN
1648-715X
1648-9179
1648-9179
Volume Title
24
Publisher
Vilnius Gediminas Technical University