Unveiling the Unpredictable: Exploring Rare Disaster Risks and Their Effects on REIT Return Dynamics and Volatility
Abstract/Description
This study investigates the relationship between rare disaster risks and the return volatility of Real Estate Investment Trusts (REITs) in the United States. Employing monthly data spanning from January 1996 to December 2016, we utilize various international crisis events as a proxy for rare disaster risks. Through employing a time-varying and bootstrap rolling window analysis, our findings reveal robust and significant linkages between rare disaster risks and REIT performance. Additionally, cross-quantilogram analysis further confirms a positive association between rare disaster risks and REIT return volatility. These results contribute to a deeper understanding of the complex dynamics between rare disaster risks and REIT behavior, offering insights for investors and policymakers in risk management and investment decision-making within the real estate sector.
Track
Finance
Session Number/Theme
1A: Finance
Session Chair
1A: Finance
Start Date/Time
30-5-2024 1:50 PM
End Date/Time
30-5-2024 3:20 PM
Location
MCS – 3 AMAN CED Building
Recommended Citation
Aman, A., Zaighum, I., & Sharif, A. (2024). Unveiling the Unpredictable: Exploring Rare Disaster Risks and Their Effects on REIT Return Dynamics and Volatility. 3rd IBA SBS International Conference 2024. Retrieved from https://ir.iba.edu.pk/sbsic/2024/program/5
COinS
Unveiling the Unpredictable: Exploring Rare Disaster Risks and Their Effects on REIT Return Dynamics and Volatility
MCS – 3 AMAN CED Building
This study investigates the relationship between rare disaster risks and the return volatility of Real Estate Investment Trusts (REITs) in the United States. Employing monthly data spanning from January 1996 to December 2016, we utilize various international crisis events as a proxy for rare disaster risks. Through employing a time-varying and bootstrap rolling window analysis, our findings reveal robust and significant linkages between rare disaster risks and REIT performance. Additionally, cross-quantilogram analysis further confirms a positive association between rare disaster risks and REIT return volatility. These results contribute to a deeper understanding of the complex dynamics between rare disaster risks and REIT behavior, offering insights for investors and policymakers in risk management and investment decision-making within the real estate sector.
