Browsing by Author "Alnasser, Abdulaziz Nasser"

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The Pricing of Interest Rate Risk: Evidence from U.S. REITs
(University of Nottingmah, 2024-09-19) Alnasser, Abdulaziz Nasser; Vigier, Adrien
This study examines the pricing of interest-rate risk in U.S. REITs, which have gained increasing interest from investors and academic researchers in recent years. Using a two-factor Arbitrage Pricing Theory (APT) design, this current study was based on data collected over five years, including total returns for U.S. equity REITs, interest rate changes, and returns for relevant market indexes. Empirical results indicate that REITs are significantly negatively sensitive to interest rate fluctuations, which suggests that for investors, there should be a premium compensation against such risk. This paper stipulates the interest rate effect as an important factor that investors and policymakers cannot afford to neglect when making decisions and formulating their investment strategies.
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