Téléchargez le livre : Stock Price Dynamics of US REITs

Stock Price Dynamics of US REITs

The Effect of Short Selling, Covid-19, and ESG de

Éditeur :

Springer Gabler


Collection :

Essays in Real Estate Research

Paru le : 2023-01-01

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Description

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.
Pages
175 pages
Collection
Essays in Real Estate Research
Parution
2023-01-01
Marque
Springer Gabler
EAN papier
9783658400484
EAN PDF
9783658400491
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
17
Taille du fichier
4055 Ko
Prix
94,94 €

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