Stock Price Dynamics of US REITs: The Effect of Short Selling, Covid-19, and ESG - Couverture souple

Trefz, Nick Martin

Couverture souple

ISBN 10 : 365840048X ISBN 13 : 9783658400484

Editeur : Springer Gabler, 2023

Synopsis

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.

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: Springer Gabler
• Date d'édition: 2023
• Langue: anglais
• ISBN 10: 365840048X
• ISBN 13: 9783658400484
• Reliure: Broché
• Numéro d'édition: 1
• Nombre de pages: 192
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Allemagne