REIT Risk Premium Sensitivity and Interest Rates

Article

DOI: 10.1023/A:1015273532625

Cite this article as:
Swanson, Z., Theis, J. & Casey, K.M. The Journal of Real Estate Finance and Economics (2002) 24: 319. doi:10.1023/A:1015273532625

Abstract

This analysis investigates several aspects of the relationship between daily REIT stock risk premiums and various interest rates. Consistent with prior research, the general findings indicate that interest rates do impact REIT returns. This study specifically finds that stock returns are more sensitive to maturity rate spread between short- and long-term treasuries than the credit rate spread between commercial bonds and treasuries. In addition, the analyses document a structural model shift during the nineties that has made REITs more sensitive to credit risk. In additional to change in investor clientele, an analysis of declining REIT credit-worthiness points to a root cause for this shift.

REITs risk premiums interest rates credit risk multi-factor asset pricing 

Copyright information

© Kluwer Academic Publishers 2002

Authors and Affiliations

  1. 1.Emporia State UniversityEmporia, KSUSA
  2. 2.School of BusinessThe University of Texas of the Permian BasinOdessa, TXUSA
  3. 3.School of BusinessHenderson State UniversityArkadelphia, ARUSA