LIQUIDITY RISK EXPOSURE FOR SPECIALIZED AND UNSPECIALIZED REAL ESTATE BANKS: EVIDENCES FROM THE ITALIAN MARKET

2010 ◽  
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Risk Exposure ◽  
Italian Market

Liquidity risk exposure for specialised and unspecialised real estate banks

2011 ◽  
Vol 29 (2) ◽  
pp. 98-114 ◽  
Author(s):  
Claudio Giannotti ◽  
Lucia Gibilaro ◽  
Gianluca Mattarocci
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Risk Exposure

Cross-listing of real estate investment trusts (REITs)

2017 ◽  
Vol 35 (5) ◽  
pp. 509-527
Author(s):  
Kim Hin David Ho ◽  
Kwame Addae-Dapaah ◽  
Fang Rui Lina Peck
Keyword(s):  
Real Estate ◽  
Foreign Market ◽  
Real Estate Investment Trusts ◽  
Domestic Market ◽  
Risk Exposure ◽  
Real Estate Investment ◽  
Content Type ◽  
Cross Listing ◽  
Market Beta ◽  
The Cross

Purpose The purpose of this paper is to examine the common stock price reaction and the changes to the risk exposure of the cross-listing for real estate investment trusts (REITs). Design/methodology/approach The paper adopts the event study methodology to assess the abnormal returns (ARs). Pre- and post-cross-listing changes in the risk exposure for the domestic and foreign markets are examined, via a modified two-factor international asset pricing model. A comparison is made for two broad cross-listings, namely, the depositary receipts and the dual ordinary listings, to examine the impacts from institutional differences. Findings Cross-listed REITs generally experience positive and significant ARs throughout the event window, implying significant superior returns associated with the cross-listing for REITs. On systematic risks, REITs exhibit significant decline in their domestic market β coefficients after the cross-listing. However, the foreign market β coefficients do not yield conclusive evidence when compared across the sample. Research limitations/implications Results are consistent with prudential asset allocation for potential diversification gains from the cross-listing, as the reduction from the domestic market beta is more significant than changes in the foreign market beta. Practical implications The results and findings should incentivise REIT managers to explore viable cross-listing. Social implications Such cross-listing for REITs should enhance risk diversification. Originality/value This is a pioneer study on cross-listing of REITs. It provides a basis for investment decision making, and could provoke further research and discussion.

Liquidity Risk of Private Assets: Evidence from Real Estate Markets

2013 ◽  
Vol 48 (4) ◽  
pp. 671-696 ◽  
Author(s):  
Ping Cheng ◽  
Zhenguo Lin ◽  
Yingchun Liu
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Real Estate Markets

scholarly journals Real Estate Credit and Liquidity Risk with Ownership Structure as Moderating Variables in Banking Companies Listed on The Indonesia Stock Exchange

2021 ◽  
Vol 14 (2) ◽  
pp. 166
Author(s):  
Muhammad Madyan ◽  
Ilham Ramadhani ◽  
Rayindha Galuh Setyowati
Keyword(s):  
Real Estate ◽  
Stock Exchange ◽  
Estimation Method ◽  
Liquidity Risk ◽  
Multiple Linear Regression Model ◽  
Foreign Ownership ◽  
Least Square ◽  
Government Ownership ◽  
Role Of Government ◽  
Positive Effect

The purpose of this study is to investigate the effect of real estate credit on liquidity risk. This study also looked at the role of government ownership and foreign ownership in moderating the effect of real estate credit on bank liquidity risk. There are 43 banking companies listed on the Indonesia Stock Exchange for the 2014-2018 period used as samples. This study used a multiple linear regression model with the Ordinary Least Square (OLS) estimation method and robustness tests using the Maximum Likelihood (MLE) estimation method. The results of this study concluded that real estate credit has a significant positive effect on liquidity risk. Government ownership strengthens the positive effect of real estate credit on liquidity risk, while foreign ownership weakens the positive effect of real estate credit on liquidity risk.

scholarly journals The Liquidity Discount in the Italian Market

2020 ◽  
Vol 13 (11) ◽  
pp. 137
Author(s):  
Emanuel Bagna
Keyword(s):  
Literature Review ◽  
Liquidity Risk ◽  
Italian Market ◽  
Over Time

The illiquidity discount represents the reduction in the value of an asset because it cannot be easily sold. It is usually applied by appraisals in valuing a minority interest in a closely-held business. This article presents a literature review of the illiquidity discount and an analysis of the level of discount in Italy during the period 2003 - 2012. The analysis conducted made it possible to verify: a) the existence for the Italian market of a discount for lack of liquidity for shares with less turnover; b) the variability over time of that discount, thus agreeing with the literature that has found the premiums for liquidity risk vary over time. The discounts that were found are, nonetheless, smaller than those indicated in the literature. The descending trend over time for the discount would seem to be particularly consistent with the studies on restricted stocks.

Commercial Mortgage‐Backed Security Pricing with Real Estate Liquidity Risk

2019 ◽  
Author(s):  
Peimin Chen ◽  
Igor Kozhanov ◽  
Peng Liu ◽  
Chunchi Wu
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Security Pricing
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