ABSTRACT Following recent methodological developments, we estimate a spatial multi-factor model (SMFM) which combines asset pricing techniques with spatial econometrics to assess systemic implications for REIT index returns. We distinguish between co-movement due to market risk exposure (systematic risk) and co-movement due to linkages between markets (spillover risk). We find that the spillover risk dramatically increases during the global financial crisis and can explain up to 60% of total asset variation. In the rest of the time, idiosyncratic risks have been the predominant type of risk in real estate stocks. Our results have implications for investors showing that the market can channel asset volatility leading to contagion during crisis periods and therefore residual linkages between country indices need to be accounted for as a means of assessing the diversification benefits of a global portfolio.

中文翻译：

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房地产股票的资产定价，空间联系和传染

摘要随着最近方法学的发展，我们估计了一个空间多因素模型（SMFM），该模型将资产定价技术与空间计量经济学相结合，以评估REIT指数回报的系统性含义。我们区分由于市场风险敞口引起的共同运动（系统性风险）和由于市场之间的联系而引起的共同运动（溢出风险）。我们发现，在全球金融危机期间，溢出风险急剧增加，并且可以解释高达60％的总资产变动。在其余时间里，特质风险一直是房地产股中的主要风险类型。