Browsing by Author "Silva, Ricardo Guia"
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- Hedging geopolitical risks with real estate investments : evidence from the Covid-19 pandemicPublication . Silva, Ricardo Guia; Martins, SusanaThis study investigates the potential of Real Estate Investment Trusts (REITs) as hedging instruments against geopolitical and physical risks, focusing on their performance during the COVID19 pandemic. Using a comprehensive dataset from June 2014 to May 2024, the analysis incorporates daily data on REIT indices across seven regions alongside proxies for geopolitical risks (COVOL and GPR) and physical climate risks (e.g., hurricanes and global warming). Quantitative methods, including regression models, VAR, GARCH, and risk-adjusted metrics, evaluate REITs' sensitivity to these risks. The findings reveal significant regional disparities. While US and European REITs demonstrate resilience, regions like Canada, Australia, and China exhibit heightened sensitivity to geopolitical volatility. Interaction effects indicate that physical risks amplify geopolitical impacts, especially in areas prone to extreme weather events. The COVID19 pandemic exacerbated these dynamics, with geopolitical risks intensifying the adverse effects on REIT returns globally, particularly in Canada, Australia, and China. The results highlight REITs' potential as diversification tools, especially in developed markets, while cautioning against higher volatility in emerging markets. These insights contribute to portfolio diversification strategies and emphasize the importance of institutional resilience and climate risk mitigation. This research advances the understanding of REITs' performance under compounded crises, addressing a critical gap in the literature on alternative hedging mechanisms.