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Table of contents (5 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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.
Authors and Affiliations
About the author
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.
Bibliographic Information
Book Title: Stock Price Dynamics of US REITs
Book Subtitle: The Effect of Short Selling, Covid-19, and ESG
Authors: Nick Martin Trefz
Series Title: Essays in Real Estate Research
DOI: https://doi.org/10.1007/978-3-658-40049-1
Publisher: Springer Gabler Wiesbaden
eBook Packages: Business and Economics (German Language)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2023
Softcover ISBN: 978-3-658-40048-4Published: 02 January 2023
eBook ISBN: 978-3-658-40049-1Published: 01 January 2023
Series ISSN: 2570-2246
Series E-ISSN: 2570-2254
Edition Number: 1
Number of Pages: XV, 175
Number of Illustrations: 54 b/w illustrations
Topics: Economics, general, Capital Markets