DOES LOCAL ECONOMIC UNCERTAINTY MATTER FOR RISK OF PROPERTY COMPANIES? EVIDENCE FROM US REITS

IF 2 4区管理学 Q3 MANAGEMENT

International Journal of Strategic Property Management Pub Date : 2023-05-29 DOI:10.3846/ijspm.2023.19092

J. Song

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引用次数: 0

Abstract

With the growing number of publicly listed property companies worldwide, investors are increasingly interested in assessing the risks of such real estate companies in the stock market. This study aims to investigate the risk of US equity real estate investment trusts (REITs) in the local market context. Using US equity REITs data from 1997 to 2020, this study examines the impact of local economic uncertainty (LEU) on risk of REITs. To measure LEU, we first exploit textual analysis to extract geographical information from REITs’ annual financial reports (10-K filings) and construct state-level regional exposure for each firm. We then obtain LEU by incorporating the regional exposure with local market uncertainty based on locally headquartered firms. In the empirical results, we find that REITs with higher LEU are strongly and positively associated with higher future risks. This positive relationship is robust to a variety of alternative risk and LEU measures. Moreover, the effects of LEU are stronger for geographically concentrated REITs and LEU is positively priced by investors.

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本地经济的不确定性对房地产公司的风险有影响吗?来自美国的证据

随着全球上市房地产公司数量的不断增加，投资者对评估这些房地产公司在股票市场中的风险越来越感兴趣。本研究旨在探讨美国股权房地产投资信托基金(REITs)在当地市场背景下的风险。本文利用1997年至2020年的美国股票REITs数据，考察了地方经济不确定性对REITs风险的影响。为了衡量LEU，我们首先利用文本分析从REITs的年度财务报告(10-K文件)中提取地理信息，并构建每个公司的州一级区域风险敞口。然后，我们根据总部设在当地的公司，将区域风险敞口与当地市场不确定性结合起来，获得LEU。在实证结果中，我们发现LEU越高的REITs与未来风险越高呈显著正相关。这种正相关关系对于各种替代风险和低浓缩铀测量都是稳健的。此外，LEU对地理集中的REITs的影响更强，并且LEU被投资者积极定价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Strategic Property Management MANAGEMENT-

CiteScore

4.00

自引率

18.50%

发文量

审稿时长

15 weeks

期刊介绍： International Journal of Strategic Property Management is a peer-reviewed, interdisciplinary journal which publishes original research papers. The journal provides a forum for discussion and debate relating to all areas of strategic property management. Topics include, but are not limited to, the following: asset management, facilities management, property policy, budgeting and financial controls, enhancing residential property value, marketing and leasing, risk management, real estate valuation and investment, innovations in residential management, housing finance, sustainability and housing development, applications, etc.