Low-frequency volatility of real estate securities and macroeconomic risk

2017 ◽  
Vol 58 ◽  
pp. 311-342 ◽  
Author(s):  
Chyi Lin Lee ◽  
Simon Stevenson ◽  
Ming-Long Lee
Keyword(s):  
Real Estate ◽  
Low Frequency ◽  
Macroeconomic Risk ◽  
Real Estate Securities

Time-varying Macroeconomic Risk of Real Estate Returns

2016 ◽  
Author(s):  
Felix Schindler ◽  
Bertram Steininger ◽  
Tim Kroencke
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Macroeconomic Risk ◽  
Real Estate Returns

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.

LOW-FREQUENCY VOLATILITY AND MACROECONOMIC DYNAMICS: CONVENTIONAL VERSUS ISLAMIC STOCK MARKETS

2020 ◽  
pp. 1-28 ◽  
Author(s):  
HONG-BAE KIM ◽  
A.S.M. SOHEL AZAD
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Low Frequency ◽  
Frequency Component ◽  
Market Volatility ◽  
Macroeconomic Dynamics ◽  
Macroeconomic Factors ◽  
Macroeconomic Risk ◽  
Islamic Countries ◽  
The Relationship

This study investigates the relationship between macroeconomic risk and low-frequency volatility of conventional and Islamic stock markets from around the world. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries and, markets with more number of listed companies, higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. The findings imply that religiosity has an influence on the correction of market volatility and investors may consider the Islamic stocks to diversify their risks.

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