The Fundamentals of Risk and Return Co-movements and Spillovers of Real Estate Trusts (REITs)

The research project deals with different perspectives on the pricing and sources of risk in securitized real estate. Thereby, the focus lies on the question how fundamental factors and risk prevalent in the underlying, direct real estate market transmit to the securitized REIT level. The analysis of national and international drivers of risk and returns of securitized real estate will provide useful insights for diversification strategies of REITs and thus, have important implications for the investment and risk management decisions of REIT investors, mortgage lenders, home suppliers, and policy makers.