RT Journal Article
SR Electronic
T1 Bankruptcy Risk and the Cross-Section of REITs
JF The Journal of Investing
FD Institutional Investor Journals
SP joi.2022.1.247
DO 10.3905/joi.2022.1.247
A1 Jesse Neumann
YR 2022
UL https://pm-research.com/content/early/2022/12/08/joi.2022.1.247.abstract
AB This article investigates the equity cross-section of real estate investment trusts (REITs) both when REITs are added as a separate portfolio to the cross-section of industries and when individual REITs are studied in isolation. A nine-factor asset pricing model which critically relies on the bankruptcy risk factor of Neumann (2021b) produces REIT portfolios which outperform the REIT market in terms of Sharpe ratio and the S&P 500 index in terms of absolute returns. The decrease in adjusted R2 of an asset pricing model when REITs are included as a separate portfolio is presented as an alternative quantification of the temporally dynamic correlation between REITs and other equity assets.