{"title":"Leverage risk and REIT returns","authors":"Alain Coën , Philippe Guardiola","doi":"10.1016/j.frl.2025.107133","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107133"},"PeriodicalIF":6.9000,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325003964","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
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