Kozak, Jakob; Nagl, Cathrine; Nagl, Maximilian; Beracha, Eli - In: The Journal of Real Estate Finance and Economics 72 (2025) 1, pp. 151-190
This study is the first to examine the real estate-specific determinants of REIT bond risk premia. Using a dataset of 33,857 U.S. REIT bond yield spreads and 24 explanatory variables, we predict REIT bond yield spreads with a non-parametric artificial neural network algorithm and interpret the...