Stock price dynamics of US REITs : the effect of short selling, Covid-19, and ESG
著者
書誌事項
Stock price dynamics of US REITs : the effect of short selling, Covid-19, and ESG
(Essays in real estate research, v. 20)(Research)
Springer Gabler, c2023
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注記
"EBS REMI, Real Estate Management Institute"--Cover
Thesis (doctoral)--EBS Business School, EBS Universität für Wirtschaft und Recht, 2022
Includes bibliographical references (p. [125]-134)
内容説明・目次
内容説明
By adopting the 'REIT laboratory' and incorporating REIT-specific Fama-French factors, Nick Martin Trefz builds the foundation to appropriately isolate the parameters of interest and to transparently investigate the areas of interest (Short Selling, Covid-19, and ESG) throughout the chapters in this book. He finds that short selling activity measured by short interest correlates with positive excess returns, and that low short interest portfolios have positive and statistically significant alphas.
He further identifies that during the Covid-19 pandemic the sources of spillovers among US real estate sectors remain constant compared to before Covid-19. Lodging can be identified as a source of total return as well as tail risk, and Office can be considered a source of volatility. Lastly, he shows that ESG ratings do not affect returns during Covid-19. However, higher ESG ranked REITs show significantly lower volatility during Covid-19.
目次
Introduction.- Modified Fama-French Factors for REITs and the Impact of Short Selling.- Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover Analysis.- ESG Stocks in Times of Crisis: Evidence from US REITs During Covid-19.- Summary and Conclusion.- References.
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