Does Real Estate Determine REIT Bond Risk Premia?

URN to cite this document:: urn:nbn:de:bvb:355-epub-765186
DOI to cite this document:: 10.5283/epub.76518

Kozak, Jakob

; Nagl, Cathrine ; Nagl, Maximilian

; Beracha, Eli ; Schäfers, Wolfgang

License: Creative Commons Attribution 4.0
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Date of publication of this fulltext: 09 Apr 2025 05:11

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Abstract

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 model’s predictions using the explainable machine learning method Accumulated Local Effect Plots (ALE). ...