Leverage risk and REIT returns

Alain Coën and Philippe Guardiola

Finance Research Letters, 2025, vol. 78, issue C

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.

Keywords: Leverage risk; REITs; Asset pricing; Multifactor models; GMM (search for similar items in EconPapers)
JEL-codes: F51 F60 G12 G15 R3 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325003964

DOI: 10.1016/j.frl.2025.107133

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