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Stock Price Dynamics of Us Reits: The Effect of Short Selling, Covid-19, and Esg
Paperback
Series: Essays in Real Estate Research, Book 20
ISBN13: 9783658400484
Publisher: Springer Gabler
Published: Jan 2 2023
Pages: 175
Weight: 0.57
Height: 0.44 Width: 5.83 Depth: 8.27
Language: English
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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