Distress Risk and Stock Returns on Equity REITs

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)

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.

Original languageEnglish
JournalJournal of Real Estate Finance and Economics
DOIs
Publication statusAccepted/In press - 2020

Keywords

  • Distress anomaly
  • Distress risk
  • Institutional ownership
  • REIT return
  • VIX

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this