International Real Estate Review

2012 ◽  
Vol 15 (1) ◽  
pp. 107-126
Author(s):  
Hongyan Du ◽  
◽  
Yongkai Ma ◽  
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Systematic Risk ◽  
Stock Performance ◽  
Significant Difference ◽  
Corporate Real Estate ◽  
Systematic Risks ◽  
The Impact

This paper attempts to study the relationships among corporate real estate (CRE), capital structure and stock performance of China¡¦s non-real estate firms, including the bidirectional relationships between debt ratio (DR) and corporate real estate ratio (CRER), the impact of CRER on stock performance, and whether this impact differs across firms with different debt levels. The results show that for the overall sample, DR has a positive effect on CRER, while CRER negatively affects DR. CRER has no significant positive impact on the abnormal returns of stocks, and even decreases those for firms in the information industry. However, it can significantly reduce the systematic risks of stock returns. Moreover, we find that CRER has no significant effect on abnormal returns regardless of the amount of debt level that a firm has, and there is no significant difference between the effects of CRER on abnormal returns for firms with different levels of debt. On the other hand, the effect of CRER on systematic risk is significantly negative for firms in the low debt group, and insignificantly positive for firms in the high debt group. The CRER of lower debt firms can significantly reduce much more systematic risk than that of the high debt firms.

Liquidity and real estate asset pricing: a pan-European study

2014 ◽  
Vol 7 (1) ◽  
pp. 59-86 ◽  
Author(s):  
Alexander Scholz ◽  
Stephan Lang ◽  
Wolfgang Schaefers
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Systematic Risk ◽  
Time Series Regression ◽  
Content Type ◽  
Market Factors ◽  
The Impact

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns. Research limitations/implications – The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets. Originality/value – This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

scholarly journals COVID-19’s Impacts on the Kuwaiti Stock Market’s Performance

2021 ◽  
Vol 16 (5) ◽  
pp. 122
Author(s):  
Ahmad Al-Kandari ◽  
Kholoud Al-Roumi ◽  
Meshal K. AlRoomy
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Event Study ◽  
Consumer Goods ◽  
Abnormal Returns ◽  
Consumer Services ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact ◽  
Event Study Methodology

This study investigates the impact of COVID-19 pandemic on daily stock returns in Kuwait Stock Market (KSE) over the period from 28 March to 20 April 2020. By applying the event study methodology (ESM) approach, the results reveal that the pandemic has positively impacted stocks of banks, consumer goods and telecommunications sectors. However, oil & gas, real estate, financial, basic materials, industrials, consumer services, and insurance stocks have been negatively impacted by the pandemic. The COVID-19 pandemic's most negatively affected are services and financial stocks. The cumulative average abnormal returns (CAAR) of all sectors were affected negatively by the COVID-19 pandemic.

scholarly journals Impact of splits on stock splits ratios around announcement day: empirical evidence from India

2020 ◽  
Vol 17 (3) ◽  
pp. 345-359
Author(s):  
Anjali Gupta ◽  
Purushottam Kumar Arya
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Splits ◽  
P Value ◽  
Share Prices ◽  
Stock Split ◽  
Percentage Basis ◽  
The Impact

Stock split should not have any impact on share prices, and there should be no value creation. The purpose of this study is to find any impact of stock splits announced in India between 1999 and 2019 on stock returns. The study aims to find differences in the impact of stock splits on stock returns with differences in stock split ratios. To examine the impact, the study includes 224 splits and adopts the standard event study methodology to find results. The presence of an abnormal return around split announcement day is the main factor, which determines the impact of stock split on the stocks. Average Abnormal Returns and Cumulative Average Abnormal Returns on percentage basis, z-test and p-value are used to statistically analyze the impact on stock prices around the announcement day of splits. These tests are used across different window periods (e.g., 20 days, 10 days and 5 days) around the event day (announcement day) to check if the impact of the event continues or decreases over time. The results point to a significant positive impact of stock splits on the returns of stock around the day the split was announced. The results also show that the impact is stronger for stock splits with ratios 10:1 (2.72 percent) and 10:2 (2.14 percent). It can be suggested that 10:1 and 10:2 are the most popular split ratios that receive maximum ongoing response to splits in the announcement window.

scholarly journals Risk and Real Estate Ownership: Empirical Evidence of Hotels in Singapore

1970 ◽  
Vol 2 ◽  
pp. 193-200
Author(s):  
Fawzla Farzana ◽  
Md Ghulam Murtaza
Keyword(s):  
Real Estate ◽  
Systematic Risk ◽  
Least Square ◽  
Real Property ◽  
The Real Estate ◽  
Corporate Real Estate ◽  
Negative Effect ◽  
Hotel Sector ◽  
The Impact ◽  
Estate Ownership

This paper examined the impact of real property ownership on the systematic risk of hotel companies in Singapore. This issue is interesting because few studies have been carried out on this topic. The hypothesis is that the real estate ownership would impose negative effect on the systematic risk of company in hotel sector because corporate real estate is commonly considered as an instrument for diversification in a mixed portfolio. To examine the effect, two-stage least-square regression was applied. The data was collected from published sources and other data streams. The results indicate that real estate ownership has impact on the systematic risk of companies. The implication is that the different strategies of companies may result in the different directions of impacts.DOI: http://dx.doi.org/10.3329/jbip.v2i0.9579  Journal of Bangladesh Institute of Planners Vol. 2, December 2009, pp. 193-200

Shariah-compliant investments and stock returns: evidence from the Indonesian stock market

2017 ◽  
Vol 8 (2) ◽  
pp. 143-160 ◽  
Author(s):  
Devi Lusyana ◽  
Mohamed Sherif
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Index ◽  
Superior Performance ◽  
Investment Performance ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.

Impact of Automobile Recalls on Stock Prices: A Study in the Indian Context

2017 ◽  
Vol 19 (2) ◽  
pp. 407-423 ◽  
Author(s):  
Jagandeep Singh
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Product Recalls ◽  
Product Recall ◽  
Event Window ◽  
Indian Context ◽  
Significant Difference ◽  
The Impact

Not so long ago, ‘product recalls’ in the Indian automobile sector were a novelty. The defective vehicles were repaired as part of the after-sales service. In the absence of a strong regulatory framework, the manufacturers were under no obligation to proactively initiate product recalls. The introduction of a voluntary code on product recalls by the Society of Indian Automobile Manufacturers (SIAM) in 2012 and introduction/amendments in the existing legal regimen of the country in recent years have led companies to take more than just baby steps towards product recalls. Product recalls are a case of management failure. There is a need for gauging the impact of this failure on the stock price of the manufacturers, especially in the Indian context where the recall phenomenon is poised to gain further momentum. The event study methodology is a widely used approach to assess the impact of a particular event/announcement on the stock price. This methodology was used in the present study to gauge whether abnormal stock returns accrued to the manufacturers during 13 product recall announcements made in the Indian automobile sector between 1 January 2010 and 31 December 2015. The study found that product recall announcements generated small and statistically insignificant cumulative abnormal returns (CAR) of –0.02 per cent in the (–1, +1) event window, 0.92 per cent in the (–2, +2) event window and 1.70 per cent in the (–5, +5) event window. The study found no substantial or statistically significant difference in the CAR generated during big recalls and small recalls. Furthermore, the study found little evidence that CAR generated during recalls where defective component(s) in the vehicle were repaired is positive as compared to CAR generated when such component(s) were replaced.

scholarly journals The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Begüm Yurteri Kösedağlı ◽  
Gül Huyugüzel Kışla ◽  
A. Nazif Çatık
Keyword(s):  
Stock Returns ◽  
Positive Impact ◽  
Structural Break ◽  
Oil Prices ◽  
Time Varying ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Structural Break Test ◽  
The Impact ◽  
Oil Gas

AbstractThis study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

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.

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

Stock markets' reaction to COVID-19: evidence from the six WHO regions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anas Ali Al-Qudah ◽  
Asma Houcine
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Early Stage ◽  
Eastern Mediterranean ◽  
Abnormal Returns ◽  
Western Pacific ◽  
Content Type ◽  
Panel Data Regression ◽  
Daily Stock Returns ◽  
The Impact

PurposeThis study investigates the effects of the COVID-19 outbreak on daily stock returns for the six major affected WHO Regions, namely: Africa, Americas, Eastern Mediterranean, Europe, South-East Asia and Western Pacific.Design/methodology/approachThis study uses an event study method and panel-data regression models to examine the effect of the daily increase in the number of COVID-19 confirmed cases on daily stock returns from 1 March to 1 August 2020 for the leading stock market in major affected countries in the WHO regions.FindingsThe results reveal an adverse impact of the daily increasing number of COVID-19 cases on stock returns and stock markets fell quickly in response to the pandemic. The findings also suggest that negative market reaction was strong during the early stage of the outbreak between the 26th and 35th days after the initial confirmed cases. We further find that stock markets in the Western Pacific region experienced more negative abnormal returns as compared to other regions. The results also confirm that feelings of fear among investors turned out to be a mediator and a transmission channel for the effect of COVID-19 outbreak on the stock markets.Research limitations/implicationsThis study contributes to financial literature in two ways. First, we contribute to existing literature that has examined the effect of various catastrophes and crises on the stock markets Second, we contribute to the recent emerging literature that examines the impact of COVID-19 on financial markets.Practical implicationsThe study may have implications for policymakers to deal with this outbreak without triggering uncertainty in stock markets and reassure investors' confidence. The study may also be of interest to investors, managers, financial analysts by revealing how the stock markets quickly respond to outbreaks.Originality/valueThis study is the first study to examine the impact of the COVID-19 outbreak on the leading stock markets of the WHO regions.

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