scholarly journals Modelling the Impact of Different COVID-19 Pandemic Waves on Real Estate Stock Returns and Their Volatility Using a GJR-GARCHX Approach: An International Perspective

2021 ◽  
Vol 14 (8) ◽  
pp. 374
Author(s):  
Mateusz Tomal
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Financial Market ◽  
International Perspective ◽  
Limited Impact ◽  
The Us ◽  
Real Estate Company ◽  
The Impact ◽  
Pandemic Wave

This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that the pandemic outbreak had a limited impact on real estate company stocks. The first pandemic wave only in the US caused a decline in stock returns. In turn, this was the case in Poland and Jordan during the second and third waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be observed in the Polish financial market. However, this effect mainly applies to the period of the first disease wave.

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.

scholarly journals Changes in the Portfolio Management and Construction under the Pandemic Era

2021 ◽  
Vol 275 ◽  
pp. 01005
Author(s):  
Ruipeng Tan
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stock Returns ◽  
Financial Market ◽  
Portfolio Management ◽  
Portfolio Construction ◽  
Sample Data ◽  
Before And After ◽  
Reduce Risk ◽  
The Impact

This paper focuses on comparing portfolio management and construction before and after the coronavirus. First, this paper presents the importance of building up portfolios for investors to diversify their risks. Theories on portfolio management are discussed in this section to show how they have been developed to help on investing and reduce risk. Then, the paper moves on to show the impact of the pandemic on the financial market and portfolio management. Sample data on tech stock returns are collected to perform a Monte Carlo simulation on portfolio construction to find out the efficient portfolio before and after the COVID-19 outbreak. The efficient portfolio is build based on the Markowitz theory to find the combination. Comparisons between these portfolio constructions are made to find out the changes in portfolio management and construction under the pandemic era. In conclusion, this paper presents how pandemic has changed and impacted the investments and lists recommendations on future portfolio management and construction.

scholarly journals The Impact of Corporate Performance on Mental Accounting and Loss Aversion in Financial Decisions

2021 ◽  
Vol 12 (4) ◽  
pp. 259
Author(s):  
Mona Hassabelrasoul Mohammad ◽  
Dalal Mohamed Ebrahim Mohamed ◽  
Elsaid Abd Elazim Tolba Elsharkawi
Keyword(s):  
Graduate Students ◽  
Real Estate ◽  
Loss Aversion ◽  
Corporate Performance ◽  
Mental Accounting ◽  
Organization Performance ◽  
Financial Decisions ◽  
Real Estate Company ◽  
The Impact

This study investigates the effect of the organization performance on two psychological biases, mental accounting and aversion to loss, on financial decisions to both investors and managers. To achieve this, two experiments are conducted. The first experiment consists of 40 graduate students as investors, while the second one consists of 40 accountants in a real estate company as managers. The results of the study indicate that the performance of companies impacts both mental accounting and aversion to loss of investors, whereas the performance of companies affects the mental accounting of managers in making their financial decisions but does not affect the aversion to loss.

Aspects of sensitivity analysis on NAV valuation in Real Estate sector – A case on Prajay Engineers Syndicate

2015 ◽  
Vol 1 (3) ◽  
pp. 44-52 ◽  
Author(s):  
Prabhat Mittal
Keyword(s):  
Sensitivity Analysis ◽  
Real Estate ◽  
Construction Cost ◽  
Valuation Model ◽  
Property Prices ◽  
Real Estate Sector ◽  
Asset Values ◽  
Near Term ◽  
Real Estate Company ◽  
The Impact

Valuation of property prices has become challenging for many real estate companies in India. Many companies have just entered to market and hence lack proven track records, their land banks and Net Asset values NAVs are not mature and carry regulatory and disclosure risks. NAVs are used as standard valuation benchmark for at least the near term. The present study in the paper is an attempt to create a valuation model for a real estate company. Sensitivity analysis of increase in cost of property prices and construction cost on the valuation has also been achieved to see the impact on the NAVs

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.

Response Asymmetries in Asian Stock Markets

2005 ◽  
Vol 08 (04) ◽  
pp. 637-657 ◽  
Author(s):  
Shuh-Chyi Doong ◽  
Sheng-Yung Yang ◽  
Thomas C. Chiang
Keyword(s):  
Stock Returns ◽  
Conditional Variance ◽  
Autocorrelation Coefficient ◽  
Conditional Mean ◽  
Asymmetric Effects ◽  
The Past ◽  
The Us ◽  
Mean And Variance ◽  
Conditional Variance Models ◽  
The Impact

This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and conditional variance models, we find the autocorrelation coefficient to be negative for the Japanese market and positive for the rest of the Asian markets studied. Our findings suggest that the Asian markets respond sensitively to the US market, especially on the down side. The asymmetric effects are found to be present in both mean and variance equations. The evidence is consistent with behavior in which investors in Asian markets tend to react more significantly to negative stock news originating from US sources than they do to positive news.

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.

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