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Paper eres2012_140:
The sources of risk spillovers among US REITs: Asset similarities and regional proximity

id eres2012_140
authors Zeno Adams, Roland Füss and Felix Schindler
year 2012
title The sources of risk spillovers among US REITs: Asset similarities and regional proximity
source 19th Annual European Real Estate Society Conference in Edinburgh, Scotland
summary In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company’s financial condition (tranquil, normal, and volatile REIT prices). We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity: REITs that have their properties located in close distance to the properties of other REITs show risk spillovers that are on average 33% higher than REITs that have similar properties but at a larger distance. We estimate the risk gradient to decrease nonlinearly and to have zero slope for property distances of more than 400 km. Our empirical findings highlight the relevance of geographical diversification and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers, and policy makers.
series ERES:conference
type normal paper
email zeno.adams@ebs.edu
content file.pdf (297,931 bytes)
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ratings
session Parallel Session C4
last changed 2014/10/21 21:51
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