Predicting Dividend Cuts in U.S. REITs under Interest-Rate Shocks: A Regime-Gated Monotone Additive Model with Conformal Risk Control
Interest-rate shocks reach the distributions of real estate investment trusts (REITs) through asset revaluation, debt repricing and refinancing frictions, but the resulting cut risk is difficult to model. It is conditional: in our data a rate shock raises the four-quarter cut probability of the most rate-exposed quarti...