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

Nick Martin Trefz builds the foundation to investigate the areas of interest (Short Selling, Covid-19, and ESG) throughout the chapters in this book by adopting the ‘REIT laboratory and incorporating REIT-specific Fama-French factors. 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.

Format: Paperback / softback
Length: 175 pages
Publication date: 02 January 2023
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Nick Martin Trefz establishes the groundwork for a thorough examination of the areas of interest (short selling, COVID-19, and ESG) by embracing the 'REIT laboratory' and incorporating REIT-specific Fama-French factors. He discovers that short selling activity, as measured by short interest, is positively associated with excess returns and that portfolios with low short interest exhibit positive and statistically significant alphas. Furthermore, he identifies that during the COVID-19 pandemic, the sources of spillovers among US real estate sectors remain consistent compared to pre-COVID-19 periods. Lodging is identified as a source of both total return and tail risk, while Office is considered a source of volatility. Additionally, he demonstrates that ESG ratings do not impact returns during COVID-19. However, higher ESG-ranked REITs exhibit significantly lower volatility during the pandemic.

Introduction:
The real estate investment trust (REIT) industry has experienced significant growth in recent years, attracting both institutional and individual investors. REITs offer a unique investment opportunity as they provide a diversified portfolio of real estate assets, typically held in a tax-efficient structure. This book aims to provide a comprehensive analysis of the factors that influence the performance of REITs, with a particular focus on short selling, COVID-19, and ESG.

Chapter 1:
In Chapter 1, Nick Martin Trefz introduces the concept of the 'REIT laboratory' and explains how it can be used to isolate the parameters of interest and investigate the areas of interest (short selling, COVID-19, and ESG). He argues that by adopting the REIT laboratory and incorporating REIT-specific Fama-French factors, researchers can effectively measure and analyze the performance of REITs.

Chapter 2:
Chapter 2 explores the relationship between short selling activity and REIT performance. Trefz finds that short selling activity, as measured by short interest, correlates with positive excess returns. He further identifies that low short interest portfolios have positive and statistically significant alphas. This suggests that short selling can be a valuable strategy for investors seeking to maximize returns in the REIT market.

Chapter 3:
Chapter 3 examines the impact of COVID-19 on the REIT industry. Trefz finds that the sources of spillovers among US real estate sectors remain constant compared to before COVID-19. He identifies lodging as a source of both total return and tail risk, while Office can be considered a source of volatility. This analysis provides valuable insights into the resilience of the REIT industry during a challenging period.

Chapter 4:
Chapter 4 investigates the relationship between ESG ratings and REIT performance. Trefz finds that ESG ratings do not affect returns during COVID-19. However, higher ESG-ranked REITs show significantly lower volatility during COVID-19. This suggests that ESG factors can be a valuable consideration for investors seeking to mitigate risk in the REIT market.

Conclusion:
In conclusion, this book provides a comprehensive analysis of the factors that influence the performance of REITs, with a particular focus on short selling, COVID-19, and ESG. By adopting the 'REIT laboratory' and incorporating REIT-specific Fama-French factors, Nick Martin Trefz establishes the groundwork for a thorough examination of these areas of interest. The findings in this book can be valuable for investors, policymakers, and researchers interested in the REIT industry.

Weight: 259g
Dimension: 210 x 148 (mm)
ISBN-13: 9783658400484
Edition number: 1st ed. 2023