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Stock Price Dynamics of US REITs - The Effect of Short Selling, Covid-19, and ESG (Paperback, 1st ed. 2023)
Loot Price: R2,071
Discovery Miles 20 710
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Stock Price Dynamics of US REITs - The Effect of Short Selling, Covid-19, and ESG (Paperback, 1st ed. 2023)
Series: Essays in Real Estate Research, 20
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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.
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