scholarly journals Shifting From Real Estate to Non-Real Estate Lending Activity: Evidence on the Risk and Return Profiles of Thrift Institutions

2003 ◽  
Author(s):  
Harold A. Black ◽  
Elijah Brewer III ◽  
William E. Jackson III
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Equity Market ◽  
Mortgage Lending ◽  
Equity Returns ◽  
Risk And Return ◽  
Consumer Lending ◽  
Banking Strategy ◽  
Lending Activity ◽  
The Impact

In this paper we study the important period where many thrifts shifted from traditional mortgage products into consumer loan products. Specifically, we examine the impact of this move toward consumer banking on the risk and return profiles of thrift institutions. One reason given for this shift was the shrinldng margins associated with the traditional mortgage lending business of the thrift industry. Other reasons are increased competition from pure-play competitors and the increased merger activity among commercial banks enabling thrifts to market themselves as consumer banks. All of these reasons help to explain why the traditional thrift model became less viable.   What strategic changes are necessary for thrift institutions to survive and compete effectively in the today’s financial environment? Thrifts may choose to rearrange their product mix, expand their investment portfolio, manage the enterprise more efficiently, or some combination of these, strategies. One strategy chosen by certain thrifts has been to shift from the traditional model of a mortgage-oriented lender to that of a consumer bank.   Using market data from the first quarter of 1985 to the fourth quarter of 1992, we examine whether thrift organizations that followed this consumer banking strategy increased or decreased their overall exposure to risk. Employing the volatility of equity returns as our measure of total thrift risk, we find that thrifts that specialized in consumer lending exhibited lower risk while maintaining similar common stock returns, relative to thrifts that did not specialize in consumer lending. This suggests that thrifts employing a strategy of significantly diversifying their asset portfolios by specializing in consumer lending were rewarded by the equity market. Conversely, thrifts that invested only a small proportion of their assets in the consumer banking strategy did not receive a similar reward from the equity market for diversifying into consumer banking.

scholarly journals Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities

2021 ◽  
Vol 13 (4) ◽  
pp. 2037 ◽  
Author(s):  
Dirk Brounen ◽  
Gianluca Marcato ◽  
Hans Op ’t Veld
Keyword(s):  
Real Estate ◽  
Best Practices ◽  
Stock Returns ◽  
The Real Estate ◽  
Public Property ◽  
European Public ◽  
Property Companies ◽  
Real Estate Securities ◽  
The Impact ◽  
European Markets

By analyzing the adoption of the European Public Real Estate Association’s (EPRA) Sustainability Best Practices Recommendations (sBPR), we examine and discuss the application of transparent environmental, social and governance (ESG) ratings and their interaction with public real estate performance across European markets. Due to increasing concerns about the environment and the impact of investment on society at large, public property companies have made significant progress in improving transparency and enhancing the protection of shareholder value by sharing and reporting ESG best practices. We explore and review the EPRA sBPR database, which is highly useful for investors who are already screening listed real estate companies. Hence, in this project, we carefully study the diffusion process of this new ESG metric as a tool to enhance informational transparency regarding public real estate investment management and assess the effects of this transparency and ESG performance for the real estate stock returns. We find evidence of a sustainability premium that investors are willing to pay to access companies with better sustainable ratings.

Oil price uncertainty and equity returns

2016 ◽  
Vol 8 (1) ◽  
pp. 64-79 ◽  
Author(s):  
Aktham Maghyereh ◽  
Basel Awartani
Keyword(s):  
Stock Returns ◽  
Oil Production ◽  
Equity Returns ◽  
Oil Price ◽  
Policy Implications ◽  
Price Uncertainty ◽  
Mena Region ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose This paper aims to examine the impact of oil price uncertainty on the stock market returns of ten oil importing and exporting countries in the Middle East and North Africa (MENA) region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports. Design/methodology/approach This paper intuitively applies the generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean vector autoregression (VAR) model using weekly data over the period January 2001-February 2014. Findings The findings indicate that oil uncertainty matters in the determination of real stock returns. There is a negative and significant relationship between oil price uncertainty and real stock returns in all countries in the sample. The influence of oil price risk is more serious in those economies that depend heavily on oil revenues to grow. Practical implications The findings have important implications. For instance, managers should be aware of the linkages between oil price uncertainty and equity returns when they use oil to hedge and diversify equities, particularly in economies where oil is important for economic growth. The policymakers in oil importing countries should encourage companies to improve efficiency in the usage of energy and to resort to alternative sources to avoid fluctuations in earnings and equity prices. In the countries that heavily depend on oil efforts should focus on diversifying the domestic economy away from oil to protect against oil price fluctuations. Originality/value To the best of our knowledge, this is the first attempt to study the influence of oil price uncertainty in the MENA region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports. The empirical findings of the paper have valuable policy implications for investors, market participants and policymakers.

Liquidity and real estate asset pricing: a pan-European study

2014 ◽  
Vol 7 (1) ◽  
pp. 59-86 ◽  
Author(s):  
Alexander Scholz ◽  
Stephan Lang ◽  
Wolfgang Schaefers
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Systematic Risk ◽  
Time Series Regression ◽  
Content Type ◽  
Market Factors ◽  
The Impact

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns. Research limitations/implications – The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets. Originality/value – This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

scholarly journals COVID-19’s Impacts on the Kuwaiti Stock Market’s Performance

2021 ◽  
Vol 16 (5) ◽  
pp. 122
Author(s):  
Ahmad Al-Kandari ◽  
Kholoud Al-Roumi ◽  
Meshal K. AlRoomy
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Event Study ◽  
Consumer Goods ◽  
Abnormal Returns ◽  
Consumer Services ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact ◽  
Event Study Methodology

This study investigates the impact of COVID-19 pandemic on daily stock returns in Kuwait Stock Market (KSE) over the period from 28 March to 20 April 2020. By applying the event study methodology (ESM) approach, the results reveal that the pandemic has positively impacted stocks of banks, consumer goods and telecommunications sectors. However, oil & gas, real estate, financial, basic materials, industrials, consumer services, and insurance stocks have been negatively impacted by the pandemic. The COVID-19 pandemic's most negatively affected are services and financial stocks. The cumulative average abnormal returns (CAAR) of all sectors were affected negatively by the COVID-19 pandemic.

scholarly journals The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market

2020 ◽  
Vol 13 (10) ◽  
pp. 233
Author(s):  
Willem Thorbecke
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Stock Returns ◽  
Electrical Equipment ◽  
Production Equipment ◽  
Macroeconomic Factors ◽  
Specific Factors ◽  
The Impact ◽  
Macroeconomic Environment ◽  
The U.S

The coronavirus crisis has damaged the U.S. economy. This paper uses the stock returns of 125 sectors to investigate its impact. It decomposes returns into components driven by sector-specific factors and by macroeconomic factors. Idiosyncratic factors harmed industries such as airlines, aerospace, real estate, tourism, oil, brewers, retail apparel, and funerals. There are thus large swaths of the economy whose recovery depends not on the macroeconomic environment but on controlling the pandemic. Macroeconomic factors generated losses in industries such as production equipment, machinery, and electronic and electrical equipment. Thus, reviving capital goods spending requires not just an end to the pandemic but also a macroeconomic recovery.

The Impact of Seasonal Affective Disorder on Financial Analysts

2017 ◽  
Vol 93 (4) ◽  
pp. 309-333 ◽  
Author(s):  
Kin Lo ◽  
Serena Shuo Wu
Keyword(s):  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Seasonal Pattern ◽  
Financial Analysts ◽  
Analyst Forecasts ◽  
Equity Returns ◽  
Data Availability ◽  
Forecast Revisions ◽  
The Impact

ABSTRACT We examine the impact of Seasonal Affective Disorder (SAD) on financial analysts. We hypothesize and find that analysts are more pessimistic, less precise, and more asymmetric in their boldness in the fall, as indicated by their forecasts of quarterly earnings. The effects are apparent in all forecast horizons analyzed and robust across multiple specifications. Importantly, pessimism in fall forecast revisions shows analyst-specific persistence, providing a strong indication that the effect is a result of SAD rather than other coincident factors. We also find evidence of a reversal in pessimism in the spring. Additional analyses show that analyst forecasts exhibit less seasonality than equity returns, and that the presence of analyst forecasts in the fall is associated with attenuation in the seasonal pattern in stock returns. Overall, the evidence suggests that SAD affects both financial analysts and equity investors, but the effect on the latter is stronger. JEL Classifications: G11; G12; G14; G41; M41. Data Availability: Data are available from public sources cited in the text.

International Real Estate Review

2012 ◽  
Vol 15 (1) ◽  
pp. 107-126
Author(s):  
Hongyan Du ◽  
◽  
Yongkai Ma ◽  
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Systematic Risk ◽  
Stock Performance ◽  
Significant Difference ◽  
Corporate Real Estate ◽  
Systematic Risks ◽  
The Impact

This paper attempts to study the relationships among corporate real estate (CRE), capital structure and stock performance of China¡¦s non-real estate firms, including the bidirectional relationships between debt ratio (DR) and corporate real estate ratio (CRER), the impact of CRER on stock performance, and whether this impact differs across firms with different debt levels. The results show that for the overall sample, DR has a positive effect on CRER, while CRER negatively affects DR. CRER has no significant positive impact on the abnormal returns of stocks, and even decreases those for firms in the information industry. However, it can significantly reduce the systematic risks of stock returns. Moreover, we find that CRER has no significant effect on abnormal returns regardless of the amount of debt level that a firm has, and there is no significant difference between the effects of CRER on abnormal returns for firms with different levels of debt. On the other hand, the effect of CRER on systematic risk is significantly negative for firms in the low debt group, and insignificantly positive for firms in the high debt group. The CRER of lower debt firms can significantly reduce much more systematic risk than that of the high debt firms.

Short- and long-term effects of responsible investment growth on equity returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yann Ferrat ◽  
Frédéric Daty ◽  
Radu Burlacu
Keyword(s):  
Stock Returns ◽  
Equity Returns ◽  
Investment Horizon ◽  
Long Term Effects ◽  
Cross Sectional ◽  
Content Type ◽  
Responsible Investment ◽  
Short Run ◽  
Investment Growth ◽  
The Impact

PurposeThe growth of socially responsible assets has been exponential over the last decade, they now account for almost a third of professional investments. As the growth persists, faith and conviction investors reshape the equity markets. To fully comprehend the impact of socially conscious participants on security returns, this paper attempts to provide insights on how responsible investment growth has impacted the returns of sustainable stocks. The examination is split by investment horizon to account for short and long effects.Design/methodology/approachUsing an exclusive dataset of non-financial ratings, provided by MSCI ESG research, the authors examine the cross-sectional returns of US and European sustainability-leading and lagging corporations between 2007 and 2019. Panel models robust to country, firm-year and industry effects were then employed to examine the impact of responsible investment growth on future stock returns.FindingsThe authors find evidence that the impact of responsible investment growth is dual contingent upon the timeframe considered. In the short run, sustainability-leading and lagging firms display similar stock returns. However, the spread in returns is negative over long horizons and increasing over time.Originality/valueThe examination performed in this study highlights the significant effect of responsible investment growth on future stock returns. Overall, the authors’ findings are consistent with the price pressure hypothesis in the short run and the cost of capital alteration over longer horizons.

scholarly journals Economic Growth, Corporate Earnings And Equity Returns: Evidence From Central And Eastern European Countries

2016 ◽  
Vol 19 (3) ◽  
pp. 93-111
Author(s):  
Jerzy Gajdka ◽  
Piotr Pietraszewski
Keyword(s):  
Economic Growth ◽  
Stock Returns ◽  
Emerging Market ◽  
Equity Returns ◽  
European Countries ◽  
Gdp Growth ◽  
Eastern European ◽  
Corporate Earnings ◽  
Eastern European Countries ◽  
The Impact

This paper discusses the links between economic growth, corporate earnings and stock returns. Cross-country correlation studies do not confirm the intuitive assumption that higher returns on equities are more likely in the fastergrowing countries. The problem can be analysed more deeply by analysing stock returns with respect to the growth of earnings per share (EPS) and changes in valuation (P/E ratio). Within this framework, two types of factors explaining the lack of correlation between GDP growth and stock returns are distinguished. The empirical research on developed and emerging market countries reveals that in the long run stock price returns are driven by companies’ earnings, and that the lack of correlation between GDP growth and equity returns is almost fully explained by the divergence between GDP growth and EPS growth. In this article the results of an investigation into this area, based on a sample of post-communist Central and Eastern European countries, are presented and discussed. It was found that in these countries changes in valuation (P/E ratio) appear to play an important role, cancelling the impact of EPS growth on stock returns.

Sign in / Sign up

Export Citation Format

Share Document