Exploring the financial resilience of REITs across three crises
Mustapha Bangura, Chyi Lin LeePurpose
This study examines the static and dynamic resilience of REITs in Australia, Singapore, France, Italy, Germany, the United Kingdom, Canada and the United States during three major global events – the September 11 attacks in the US, the Global Financial Crisis (GFC) and the COVID-19 pandemic.
Design/methodology/approach
Using monthly and quarterly data of REIT returns, real GDP and the world and country-level uncertainty indices from 2000 to 2024, the study applies standard return-risk analysis, an impulse response and a Dynamic Ordinary Least Squares (DOLS) framework to examine the financial resilience of REITs in these countries across these major global shocks.
Findings
The analysis reveals that REITs in these countries demonstrated relative resilience, supported by independent economic policies and real GDP growth. The GFC had the most severe impact, but recovery was swift, indicating that financial system-triggered shocks are more harmful to REITs than external factors. Most REITs exhibited dynamic rather than static resilience, particularly during the GFC and COVID-19. Non-passive, short-term investors tended to overreact to local shocks, resulting in underperformance relative to passive, long-term investors.
Originality/value
The findings could inform the decisions of macroeconomic policy and investment analysts during periods of economic uncertainty. Institutional investors could also use the findings to inform their investment decisions during global shocks.