Credit risk assessment in real estate investment trusts: A perspective on blockholding and lending networks

Masayasu Kanno

International Review of Financial Analysis, 2020, vol. 71, issue C

Abstract: This study assesses the credit risk of Japan's real estate investment trusts (J-REITs) in two related markets during the fiscal years 2008–2017. The first J-REIT market involves blockholders, while the second is a lending market of institutions, i.e., banks and insurers. J-REITs are corporation type of closed-end funds listed on the stock exchange and thus, has corporate credit risk. Consequently, a J-REIT's financial variables and its sponsor have a substantial effect on the J-REIT's credit risk. A sponsor's probability of default is a leading indicator of the J-REIT's default and double default probability acts as a coincident indicator of default. Network analysis indicates that some network centralities are proxies for funding liquidity via blockholding and lending networks. Rather than increases in other centralities, an increase in the degree of lending to a J-REIT explains a decrease in the issued J-REIT's credit risk.

Keywords: REIT; Sponsor; Credit risk; Double default; Centrality measure (search for similar items in EconPapers)
JEL-codes: D85 G10 G32 L14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302003

DOI: 10.1016/j.irfa.2020.101556

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