Jenett, Hendrik; Nagl, Cathrine; Nagl, Maximilian; … - In: The Journal of Real Estate Finance and Economics 72 (2025) 1, pp. 1-40
Real Estate Investment Trust (REIT) returns and volatility have been extensively studied, yet typically in isolation from each other. Given that returns and volatility are generally connected in the eyes of investors, we simultaneously analyze the drivers of REIT returns and volatility over the...