Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Through an Explainable Machine Learning Approach

URN to cite this document:: urn:nbn:de:bvb:355-epub-765132
DOI to cite this document:: 10.5283/epub.76513

Jenett, Hendrik ; Nagl, Cathrine ; Nagl, Maximilian

; Price, S. McKay ; Schäfers, Wolfgang

License: Creative Commons Attribution 4.0
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Date of publication of this fulltext: 09 Apr 2025 04:35

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Abstract

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 modern REIT era (1991–2022) using an eXtreme Gradient Boosting (XGBoost) machine learning algorithm. We ...