Cash-Flow and Discount-Rate News in REIT Returns

35 Pages Posted: 25 Oct 2021

Date Written: October 20, 2021


Unlike stocks, we find that unexpected returns of REITs (real estate investment trusts) are mainly driven by adjustments (called ``news'') in expected dividend growth as opposed to discount rates. This is not surprising given the legally enforced minimum dividend payout of REITs. The importance of REIT cash flow news is particularly strong in the forefront and during the GFC, but also during the Dotcom period which was not rooted in the real estate market. In sharp contrast to the stock market, discount rate news are more persistent than the cash flow news, and both are highly correlated. Therefore, despite being largely neglected in the ``news'' literature, the REIT market plays an important role in the persistence and transmission of shocks in financial markets.

Keywords: Long-run risk of discount rates vs. expected growth, variance decomposition of stock returns and real estate returns (REITs), Dotcom bubble vs. Global Financial Crisis

JEL Classification: G01, G12, C32, E44, R30

Suggested Citation

Séchaud, Valentin and Zimmermann, Heinz, Cash-Flow and Discount-Rate News in REIT Returns (October 20, 2021). Available at SSRN: or

Valentin Séchaud

University of Rochester ( email )

Harkness Hall
Rochester, NY 14627
United States

Heinz Zimmermann (Contact Author)

University of Basel ( email )

Peter Merian Weg 6
Basel, 4002
+41 61 267 33 16 (Phone)
+41 61 267 08 98 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics