JavaScript is disabled for your browser. Some features of this site may not work without it.
Please be advised that the site will be down for maintenance on Sunday, September 1, 2024, from 08:00 to 18:00, and again on Monday, September 2, 2024, from 08:00 to 09:00. We apologize for any inconvenience this may cause.
Climate change, technology shocks and the US equity real estate investment trusts (REITs)
Salisu, Afees A.; Hammed, Yinka S.; Ouattara, Ibrahim Ngananga
Given the renewed interest in Real Estate Investment Trusts (REITs), we are keenly focused
on exploring the possible connection between climate change and return volatility of US equity REITs,
as well as the role of technology innovation for environmental sustainability in the nexus. While
climate change might pose some threat to the REIT business, it is necessary to know the direction
in which technological innovation can mitigate this impact. As a way to validate our evidence, we
offer some additional analyses with alternative measures of technology shocks and the replacement
of technology shocks with global economic expansion, as improvement in global economic activity
could offer more investment options for investors to diversify their investment portfolio away from
climate-prone assets. For completeness, the analyses are replicated for US mortgage REITs. Overall,
we show that climate change heightens the return volatility of US equity REITs and that the former
contains some predictive content for the latter. When the role of technology is examined, our results
show that technology shock indeed reverses the cheering impact of temperature anomaly on the
return volatility of US equity REITs. We show that these results are robust to alternative measures of
economic shock and that the results equally hold for mortgage REITs. We further document some
important implications of our findings for investors and policymakers alike.
Description:
DATA AVAILABILITY STATEMENT : Publicly available datasets were analyzed in this study. This data can be found here: https://fred.stlouisfed.org/.