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Spillover Risks In Reits And Other Asset Markets
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Book Synopsis Spillover Risks in REITs and Other Asset Markets by : Ming-Chu Chiang
Download or read book Spillover Risks in REITs and Other Asset Markets written by Ming-Chu Chiang and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on Diehold and Yilmaz's (2012) methodology, we estimate three return spillover indices in a four-asset system comprising equity REIT (EREIT), mortgage REIT (MREIT), stock, and bond for the sample period from January 1972 to September 2014. We find that the total return spillover risks account for about one-third of the total return variance, on average, in the four-asset system. When we add commercial real estate (CRE) to the system, but for a shorter sample period from February 1998 to September 2014, we estimate an average total return spillover risk of 28.0%. In an extended Fama-French's five-factor CAPM framework, we find that the net return spillover risks have significant and negative effects on EREIT and MREIT returns, but positive effects on bond return. We infer that during the period of high oil price volatility from 1978 to 1986, bond market, as a net "receiver" of market risks, increased its risk premiums in response to high spillover risks from other market. However, in the post-subprime crisis period, large spillover risks from the stock market, which is a net "transmitter" of risks, decreased EREIT and MREIT returns. We also find that CRE return is not affected by spillover risks from other markets. Institutional investors should thus not neglect spillover risks when constructing asset allocation strategies that include assets other than CRE.
Book Synopsis Risk Integration of Real Estate Investment Trusts Into Global Equity Markets by : Hermann Finkeldei
Download or read book Risk Integration of Real Estate Investment Trusts Into Global Equity Markets written by Hermann Finkeldei and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this thesis is to improve the understanding of the integration of Real Estate Investment Trusts into equity markets with respect to risk in the U.S. In particular, the thesis focuses on risk spillovers from equity into REIT markets and at the same time examines how these spillovers depend on the current state of the market, how spillover behaviour has changed over time and how this behaviour differs across different REIT types or sectors. This is addressed by applying an adjusted version of the State-Dependent Sensitivity Value-at-Risk approach of Adams, Füss and Gropp (2014). The approach makes it possible to analyse spillover behaviour during certain states of the market. Furthermore, rolling regression analysis is applied to assess how the spillover behaviour evolves over time and then to check if it is possible to observe any variation of these risk spillovers into REIT markets across time. Lastly, it is investigated how the spillover behaviour itself and its variations over time differ across various types, sectors or size categories of REITs and whether certain sectors are especially susceptible to risk spillovers. REIT vulnerability to equity risk spillovers was found to be highly dependent on the current state of the market with respect to risk. Spillover behaviour not only strongly varied over time, but also differed across different REIT types and sectors. Virtually all types and sectors suffered strong increases in equity risk spillover susceptibility during the financial crisis. With the exception of Mortgage REITs, however, the average spillover coefficients even in the post-crisis period remained at levels higher than pre-crisis averages. This study argues that category-based co-movements are likely to be a driver causing these increased risk spillovers even after the end of the financial crisis. Furthermore, MREITs, Small Cap REITs as well as the healthcare, residential and self-storage subsector.
Book Synopsis The Sources of Risk Spillovers Among U.S. REITs by : Zeno Adams
Download or read book The Sources of Risk Spillovers Among U.S. REITs written by Zeno Adams and published by . This book was released on 2016 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT prices). We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity: REITs that have their properties located in close distance to the properties of other REITs show risk spillovers that are on average 33% higher than REITs that have similar properties but at a larger distance. We estimate the risk gradient to decrease nonlinearly and to have zero slope for property distances of more than 250 miles. Our empirical findings provide first empirical evidence on the transmission of risk spillovers from underlying real positions to the securitized level of a company. Specifically, our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers, and policy makers.
Book Synopsis The Risk Spillovers Among International REIT Markets by : Zhiqiang Miao
Download or read book The Risk Spillovers Among International REIT Markets written by Zhiqiang Miao and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper adopts the state-dependent sensitivity value-at-risk (SDSVaR) approach to investigate the risk spillover dynamics among 18 REIT markets globally. Quantile regression is employed to contrast the spillover dynamics between the normal and the volatile states of the financial market. Empirical result shows that the risk spillover increases substantially worldwide when the markets are volatile. The paper goes further to regress the spillover coefficient estimates obtained from the quantile regression on several REIT-specific variables and macroeconomic factors to explore the economic reasoning behind the risk spillover phenomenon. It is concluded that a REIT market tends to be more vulnerable to external shocks, when its domicile country has higher level of economic openness-measured by total trade relative to its gross domestic production (GDP)-and accumulates less (possibly negative) trade balances relative to GDP. Additionally, the REIT markets seem to exhibit continental segmentation in general: European markets experience a distinct shift of spillover patterns from normal state to volatile state, while Asian markets tend to undergo more intensive spillover effects over the full sample periods.
Book Synopsis Stock Price Dynamics of US REITs by : Nick Martin Trefz
Download or read book Stock Price Dynamics of US REITs written by Nick Martin Trefz and published by Springer Nature. This book was released on 2023-01-01 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Spillover Effects Among Financial Institutions by : Zeno Adams
Download or read book Spillover Effects Among Financial Institutions written by Zeno Adams and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a state-dependent sensitivity VaR (SDSVaR) to quantify the size and duration of risk spillovers among financial institutions. We permit spillover effects to change depending on the state of financial markets. We show that while small during calm times, equivalent shocks lead to considerable spillover effects in volatile market periods. The results highlight that estimates on spillover magnitudes that do not condition on the state of financial markets may substantially over- or understate spillover effects among a set of financial institutions. Using a TSLS related approach to control for endogeneity in a simultaneous equation system, we show that investment banks and, especially, hedge funds play a major role in the transmission of shocks to the other financial institutions.
Book Synopsis Behavioral Explanations of Investors' Trading in Financial Markets by : Mohammed Saad H Alhashim
Download or read book Behavioral Explanations of Investors' Trading in Financial Markets written by Mohammed Saad H Alhashim and published by . This book was released on 2021 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay, I examine the effect of social media sentiment on the trading behavior of individual investors. I document a positive association between sentiment and retail order imbalances (i.e., individual investors tend to buy more than they sell as they become more optimistic about stocks). The association between retail investor activity and sentiment is stronger for hard-to-value stocks (small cap, low institutional ownership, and low analyst coverage firms). Finally, the association between retail order imbalances and stock returns exists only in conjunction with investor sentiment. In the second essay, I consider the effect of firm-level sentiment extracted from a social network platform on the presence of herding behavior in the US equity market. Applying a quantile regression model enables me to investigate the existence of herding during both quiet periods and extreme market movements. I also benefit from using different sampling frequencies (daily, weekly, and monthly) for detecting investor herding. I document an asymmetric association between herding and investor sentiment. Herding is present in low-optimism portfolios but not in high-optimism portfolios. I also find evidence of herding in intermediate quantiles (i.e., relatively quiet market periods but not during extreme market movements). The degree of investor attention has a moderating impact on the relationship between investor optimism and the tendency to herd, with herding being more intense among low-optimism stocks. I also find evidence that trading volume drives herding behavior. In the third essay, I estimate the impact of investor sentiment in the stock market on the return and volatility spillover risks between real estate investment trusts (REITs) and a broader equity index. The total return spillover risk from equity market to real estate is higher for low-optimism portfolios (45.76%) relative to high-optimism portfolios (41.41%). I do not document any significant impact of investor sentiment on the volatility spillover risk between REITs and the equity market (34.85% versus 34.17%). My results highlight the importance of considering investor sentiment in the stock market when constructing multi-asset portfolios that include REITs in addition to other asset classes.
Book Synopsis My Memoirs - in God We Do Best by : Kim Hin / David Ho
Download or read book My Memoirs - in God We Do Best written by Kim Hin / David Ho and published by Partridge Publishing Singapore. This book was released on 2021-08-26 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book concludes with my life achievements, then discusses my expanded work experience, my published articles, my published books and citations of my articles.
Book Synopsis Housing Markets in Europe by : Olivier de Bandt
Download or read book Housing Markets in Europe written by Olivier de Bandt and published by Springer Science & Business Media. This book was released on 2010-10-14 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the recession in the years 2008-2009, the most severe for mature economies in the post-war period, housing markets were often mentioned as having a special responsibility. The objective of this book is to shed light on the cyclical behaviour of the housing markets, its fundamental determinants in terms of supply and demand characteristics, and its relationship with the overall business cycle. The co-movements of house prices across countries are also considered, as well as the channel of transmission of house price changes to the rest of the economy. Particular attention is paid to the effects on private consumption, through possible wealth effects. The book is a compilation of original papers produced by economists and researchers from the four main national central banks in the euro area, also with the participation of leading academics.
Book Synopsis Unconventional Monetary Policies - Recent Experiences and Prospects - Background Paper by : International Monetary Fund. Fiscal Affairs Dept.
Download or read book Unconventional Monetary Policies - Recent Experiences and Prospects - Background Paper written by International Monetary Fund. Fiscal Affairs Dept. and published by International Monetary Fund. This book was released on 2013-04-18 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides background information to the main Board paper, “The Role and Limits of Unconventional Monetary Policy.” This paper is divided in five distinct sections, each focused on a different topic covered in the main paper, though most relate to bond purchase programs. As a result, this paper centers on the experience of the United States Federal Reserve (Fed), the Bank of England (BOE) and the Bank of Japan (BOJ), mostly leaving the European Central Bank (ECB) aside given its focus on restoring the functioning of financial markets and intermediation. Section A explores whether bond purchase programs were effective at decreasing bond yields and, if so, through which channels. Section B goes one step further in evaluating whether bond purchase programs had—or can be expected to have—significant effects on real growth and inflation. Section C studies the spillover effects of bond purchases on both advanced and emerging market economies, using very similar methods as introduced in the first section. Section D breaks from the immediate focus on bond purchases to discuss how inflation might decrease the debt burden in advanced economies, in light of possible pressures that could fall (or be perceived to fall) on central banks. Finally, Section E discusses the possible risks of exiting given the very large central bank balance sheets.
Book Synopsis Advances in Econometrics, Operational Research, Data Science and Actuarial Studies by : M. Kenan Terzioğlu
Download or read book Advances in Econometrics, Operational Research, Data Science and Actuarial Studies written by M. Kenan Terzioğlu and published by Springer Nature. This book was released on 2022-01-17 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents techniques and theories drawn from mathematics, statistics, computer science, and information science to analyze problems in business, economics, finance, insurance, and related fields. The authors present proposals for solutions to common problems in related fields. To this end, they are showing the use of mathematical, statistical, and actuarial modeling, and concepts from data science to construct and apply appropriate models with real-life data, and employ the design and implementation of computer algorithms to evaluate decision-making processes. This book is unique as it associates data science - data-scientists coming from different backgrounds - with some basic and advanced concepts and tools used in econometrics, operational research, and actuarial sciences. It, therefore, is a must-read for scholars, students, and practitioners interested in a better understanding of the techniques and theories of these fields.
Author :International Monetary Fund. Asia and Pacific Dept Publisher :International Monetary Fund ISBN 13 :1498341543 Total Pages :171 pages Book Rating :4.4/5 (983 download)
Book Synopsis 2013 Spillover Report - Analytical Underpinnings and Other Background by : International Monetary Fund. Asia and Pacific Dept
Download or read book 2013 Spillover Report - Analytical Underpinnings and Other Background written by International Monetary Fund. Asia and Pacific Dept and published by International Monetary Fund. This book was released on 2013-07-03 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: High uncertainty in general, and high policy uncertainty more specifically, can have important impact on global investment and output growth. Much of the recent policy uncertainty emanated from the United States and Europe—the world’s two largest economies. Spillovers from policy uncertainty can occur through several channels. Trade can be affected if increased policy uncertainty adversely affects economic activity and import demand in the United States and Europe. Policy uncertainty could also raise global risk aversion, resulting in sharp corrections in financial markets and capital outflows from emerging markets. This background note attempts to quantify the impact of U.S. and European policy uncertainty on other regions. Specifically, it addresses the following questions: What do we mean by policy uncertainty? How well can we measure it? How has policy uncertainty in the United States and Europe evolved during the past several decades? And how large are the spillovers to economic activity in other regions? The analysis suggests that sharp increases in U.S. and European policy uncertainty in the past have temporarily lowered investment and output in other regions to varying degrees. It also suggests that a marked decrease in policy uncertainty in the United States and Europe in the near term could help boost global investment and output.
Book Synopsis The Risks of Financial Institutions by : Mark Carey
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Book Synopsis Managing Climate Risk in the U.S. Financial System by : Leonardo Martinez-Diaz
Download or read book Managing Climate Risk in the U.S. Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742
Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Book Synopsis Financial Stability Monitoring by : Tobias Adrian
Download or read book Financial Stability Monitoring written by Tobias Adrian and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.
Book Synopsis Commercial Real Estate by : David Geltner
Download or read book Commercial Real Estate written by David Geltner and published by South Western Educational Publishing. This book was released on 2014 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rev. ed. of: Commercial real estate analysis and investments / David M. Geltner ... [et al.]. Mason, Ohio: Thompson South-Western, c2007.
