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Leverage risk and REIT returns

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  • Coën, Alain
  • Guardiola, Philippe

Abstract

The aim of this study is to analyze the role played by leverage, introduced as a risk factor, on the dynamics of U.S. REIT sectors returns. Using CRSP/Ziman series and Compustat data bases, we build two leverage risk factors and test their contribution in linear conditional asset pricing models. Our robust results report that leverage risk factors are significantly priced, shedding new light on strategic and tactical securitized real estate investments.

Suggested Citation

  • Coën, Alain & Guardiola, Philippe, 2025. "Leverage risk and REIT returns," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325003964
    DOI: 10.1016/j.frl.2025.107133
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
    • F60 - International Economics - - Economic Impacts of Globalization - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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