书目名称 | Stock Price Dynamics of US REITs |
副标题 | The Effect of Short |
编辑 | Nick Martin Trefz |
视频video | |
丛书名称 | Essays in Real Estate Research |
图书封面 |  |
描述 | .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.. |
出版日期 | Book 2023 |
关键词 | Short Selling; Covid-19; Spillovers; REIT; Fama-French Factor Model; ESG |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-658-40049-1 |
isbn_softcover | 978-3-658-40048-4 |
isbn_ebook | 978-3-658-40049-1Series ISSN 2570-2246 Series E-ISSN 2570-2254 |
issn_series | 2570-2246 |
copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wies |