Moments and momentum in the returns of securitized real estate: A cross-country study of risk factors driving real estate investment trusts before and during COVID-19.

A real estate investment trust (REIT) is a company running a funding pool that allows people to invest in real estate without physical purchase. Since REITs are stock market-traded real estate assets, there is debate as to whether their returns are driven by stock market risk factors. In this regard, this paper examines the impact of the well-established equity market risk factors of momentum, skewness, and kurtosis on the returns of different types of REITs, including mortgage REITs (MREIT), equity REITs (EREIT), and hybrid REITs (HREIT), across five countries-Australia, the UK, the US, Japan, and Canada-during the period 2000-2022, controlling for other well-established factors in the asset pricing literature.

Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic.

We investigate the performance of SRI/ESG investments against conventional investments during the COVID-19 pandemic. Although previous studies have examined the performance of SRI during financial crises, little is known about their performance during the COVID-19 crisis. Applying asset-pricing models, we analyze returns, abnormal returns, and the Sharpe ratio of the ESG ETFs in the US and the MSCI SRI indices for the world, the US, Japan, and Europe before and during the pandemic period vis-à-vis conventional investments.