Dependence dynamics of US REITs
International Review of Financial Analysis
; : 102124, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1768214
ABSTRACT
The US real estate market presents itself as a highly capital intensive business and therefore an important part of the US economy. We examine the presence of dependence between 50 US financial REITs from 1st January 2006 to 20th July 2020 categorized into small, medium and large REITs. We apply normal and threshold dependence measures as main tests and centrality networking based on the minimum spanning tree as a robustness approach. We report strong dependence between large and medium US REITs, whereas small REITs provide more diversification and act as net transmitters of information. In comparison to the GFC and ESDC crises, COVID-19 affects all sizes of REIT. Our results suggest that size could be an important factor in REIT pricing, specifically a higher premium should be assigned to large REITs because of their risk receiving behaviour during crisis periods and high connectedness with other large and medium sized REITs.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
International Review of Financial Analysis
Year:
2022
Document Type:
Article
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