Distress risk and stock returns on equity REITs

Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/81983

Title:	Distress risk and stock returns on equity REITs
Authors:	Shen, J
Issue Date:	23-Mar-2020
Source:	Journal of real estate finance and economics, Apr. 2020, 62, p. 455-480
Abstract:	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.
Keywords:	Distress risk REIT return Distress anomaly VIX Institutional ownership
Publisher:	Springer
Journal:	Journal of real estate finance and economics
ISSN:	0895-5638
EISSN:	1573-045X
DOI:	10.1007/s11146-020-09756-7
Rights:	© Springer Science+Business Media, LLC, part of Springer Nature 2020 This is a post-peer-review, pre-copyedit version of an article published in The Journal of Real Estate Finance and Economics. The final authenticated version is available online at: 10.1007/s11146-020-09756-7.
Appears in Collections:	Journal/Magazine Article

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Status	open access
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