Trefz Stock Price Dynamics of US REITs

The Effect of Short Selling, Covid-19, and ESG
1. Auflage 2023
ISBN: 978-3-658-40049-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 20, 175 Seiten, eBook

Reihe: Essays in Real Estate Research

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.

Zielgruppe

Research

Autoren/Hrsg.

Trefz, Nick Martin

Inhaltsverzeichnis

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.

Über Autor(innen)

Nick Martin Trefz is currently running his own investment management company and was previously employed as a research assistant in the finance department under the supervision of Prof. Jan Mutl, PhD at EBS Business School, EBS Universität für Wirtschaft und Recht, Wiesbaden, Germany.