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Titlebook: Stock Price Dynamics of US REITs; The Effect of Short Nick Martin Trefz Book 2023 The Editor(s) (if applicable) and The Author(s), under e

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发表于 2025-3-21 19:23:20 | 显示全部楼层 |阅读模式
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Titlebook: Stock Price Dynamics of US REITs; The Effect of Short  Nick Martin Trefz Book 2023 The Editor(s) (if applicable) and The Author(s), under e
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
doihttps://doi.org/10.1007/978-3-658-40049-1
isbn_softcover978-3-658-40048-4
isbn_ebook978-3-658-40049-1Series ISSN 2570-2246 Series E-ISSN 2570-2254
issn_series 2570-2246
copyrightThe Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wies
The information of publication is updating

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发表于 2025-3-21 23:10:41 | 显示全部楼层
Modified Fama-French Factors for REITs and the Impact of Short Selling,rench (1993) has started a fruitful strand of literature. However, when applying the Fama-French factors to a specific industry, it may be necessary to adjust or append these factors. In this paper we propose to do so in the context of Real Estate Investment Trusts (REITs) and document that not adap
发表于 2025-3-22 01:35:31 | 显示全部楼层
Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover t al., 2020) has, according to Baker et al., (2020), in fact impacted the stock market more heavily than any other disease ever has, including the Spanish flu in 1918. This was especially the case in the first half of 2020, when at some point entire continents enforced full or partial lockdown measu
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发表于 2025-3-22 10:25:54 | 显示全部楼层
发表于 2025-3-22 15:05:56 | 显示全部楼层
Book 2023te 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 portfolio
发表于 2025-3-22 19:16:26 | 显示全部楼层
2570-2246 tely 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
发表于 2025-3-23 00:06:02 | 显示全部楼层
Modified Fama-French Factors for REITs and the Impact of Short Selling,o adjust or append these factors. In this paper we propose to do so in the context of Real Estate Investment Trusts (REITs) and document that not adapting the factors leads to a serious omitted variable bias.
发表于 2025-3-23 04:17:44 | 显示全部楼层
Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover nish flu in 1918. This was especially the case in the first half of 2020, when at some point entire continents enforced full or partial lockdown measures and the severe impacts of the crisis came to the surface.
发表于 2025-3-23 07:09:14 | 显示全部楼层
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