Common risk factors in REIT Returns: New insights

Alain Coën and Philippe Guardiola

The North American Journal of Economics and Finance, 2025, vol. 79, issue C

Abstract: The aim of this article is to shed new light on the analysis of real estate investment trust (REIT) returns. To improve the contribution of standard asset pricing models, we develop and suggest the use of potential common factors related to REITs specific risk exposure: leverage, cash flow volatility and investment growth. We group REITs into portfolios based on their market capitalizations, book-to-market ratios, and loan-to-value ratios. Using unconditional and conditional asset pricing models, our results show that the leverage factor is a key risk factor in REIT returns. This conclusion remains when other REITs risk factors are considered, including the Fama and French factors.

Keywords: Asset pricing; REIT; Leverage; Cash flow volatility; Investment factor; Multifactor models; GMM (search for similar items in EconPapers)
JEL-codes: G12 G21 R3 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000877

DOI: 10.1016/j.najef.2025.102447

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