Stock Price Dynamics of US REITs : The Effect of Short Selling, Covid-19, and ESG

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. Table of Contents List of Figures List of Tables List of Abbreviations 1 Introduction 2 Modified Fama-French Factors for REITs and the Impact of Short Selling 2.1 Introduction 2.2 Data Sources and Variable Construction 2.3 Empirical Analysis 2.4 Conclusion 3 Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover Analysis 3.1 Introduction 3.2 Previous Literature 3.3 Data and Method 3.4 Performance Metrics 3.4.1 Total Return 3.4.2 Volatility 3.4.3 Tail Risk 3.5 Spillover Analysis 3.5.1 Unadjusted - Total Return - Spillover Analysis 3.5.2 Stock Market Adjusted - Total Return - Spillover Analysis 3.5.3 Stock Market and Real Estate Market Adjusted - Total Return Spillover Analysis 3.5.4 Unadjusted - Volatility - Spillover Analysis 3.5.5 Stock Market Adjusted - Volatility - Spillover Analysis 3.5.6 Stock Market and Real Estate Market Adjusted - Volatility - Spillover Analysis 3.5.7 Unadjusted - Tail Risk - Spillover Analysis 3.5.8 Stock Market Adjusted - Tail Risk - Spillover Analysis 3.5.9 Stock Market and Real Estate Market Adjusted - Tail Risk - Spillover Analysis 3.5.10 Combined Results - Spillover Analysis 3.6 Conclusion 4 ESG Stocks in Times of Crisis: Evidence from US REITs During Covid-19 4.1 Introduction 4.2 Previous Literature 4.3 Data and Method 4.4 Performance Metrics 4.4.1 Total Return 4.4.2 Volatility 4.4.3 Tail Risk 4.5 Before and During Covid-19 Comparison 4.6 Conclusion 5 Summary and Conclusion References Appendix A.1 Appendix A.2 Appendix C