publication . Report . 2013

Banking System Shocks and REIT Performance

Olliges, Jan-Willem; Raudszus, Malte H.; Mueller, Glenn R.;
Open Access English
  • Published: 04 Mar 2013
  • Country: Germany
Abstract
The purpose of this study is to directly contrast the REIT market’s stock return response to bank failures versus bank bailouts. The non-negativity constraints of the GARCH model measuring risk dynamics are mitigated by the use of the EGARCH model. EGARCH accounts for non-symmetrical effects of risk adjustments in response to return shocks. Previous research shows that bank failures cause a positive abnormal return effect for REITs. This confirms the expectation that during crises, market participants perceive REITs as safe haven investments. Bank bailouts cause diametrical effects on REIT performance, manifesting in negative abnormal returns. Applying EGARCH, i...
Subjects
free text keywords: 330 Wirtschaft, ddc:330

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