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 …

This research examined whether the beta anomaly exists in the REIT market. By analysing a
low-minus-high beta strategy and a betting-against-beta strategy in the REIT market, we find …

This paper first documents the impacts of property age on the operational efficiency, portfolio
risk and market valuation of REITs. Based on the findings, we examine three possible …

We investigate the relationship between default risk and REIT stock returns. A default risk
long-short investment strategy generates a return of 15% per annum. We also evaluate a …

This paper reconciles the controversy regarding the substitutability between equity REITs
(EREITs) and mortgage REITs (MREITs) in existing literature. Using CRSP/Ziman data from …

Are REITs income stocks, only? Following Myers (1977) and Bernardo et al.(2007), we
examine empirically REITs' unlevered betas, betas of growth options, betas of assets-in …

This paper considers the aggregate profitability performance of the REIT industry. The
aggregate performance depends on the underlying microeconomic dynamics within an …

This paper investigates the non-GAAP performance measures of the REIT industry,
specifically the difference (FFO adjustment) between concurrent FFO and Net Income (NI) …

The aim of this paper is to shed new light on the home bias puzzle employing growth
options. Using a unique property-level dataset, we show that geographically concentrated …

Purpose–The purpose of this paper is to understand the controversial issue of whether stock
returns and idiosyncratic risks are related positively or negatively in case of Singaporean …