Download or read book The Sensitivity of Bank Stock Returns to Real Estate written by Ling T. He and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This has caused concern about the continuing economic health of banks, since changes in real estate returns potentially have a significant impact on bank default risk and profitability. By using a three-index model, this study examines the sensitivities of stock returns for different bank groups, based on the percentage of loans in real estate and five different mortgage categories, to changes in real estate market returns. The results of this study indicate that bank stocks, overall, are very sensitive to changes in real estate returns. Banks, with a larger portion of their total loans invested in all types of real estate loans, except farmland loans, are most sensitive to changes in real estate returns.

Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Springer Science & Business Media. This book was released on 2009-08-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.

Download or read book The Sensitivity of Bank Stock Returns to Interest Rates written by Killian Keane and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Estate Risk Effects on Financial Institutions Stock Return Distribution written by Elyas Elyasiani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines two relationships using the bivariate GARCH methodology. First, the relationship between equity returns of commercial banks, Savings and Loans (S&Ls) and life insurance companies (LICs), and those of the real-estate investment trusts (REITs), a proxy for the real-estate sector performance. Second, the relationship between conditional volatilities of the stock returns of these financial intermediaries (FIs) and that of REITs. The former relationship allows the spillover of returns between the real-estate and the financial intermediation sector to be analyzed. The latter allows an investigation of the prevalence, direction and strength of inter-sectoral risk transmission to be carried out. Several interesting results are obtained. First, the equity returns of the FIs considered follow a GARCH process and should be modeled accordingly. Second, as found in the literature, returns on REITs should be modeled using the Fama-French multiple factor model. However, this model has to be extended to incorporate a GARCH error structure. Third, all FI returns considered are highly sensitive to REIT returns and the effects are both statistically and economically significant. This is an indication that shocks to REITs returns spillover to the former markets. Fourth, spillover of increased volatility in the real-estate sector to S&Ls and LICs is significant but not to commercial banks.

Download or read book How to Deal with Real Estate Booms written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2011-04-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crisis showed, once again, that neglecting real estate booms can have disastrous consequences. In this paper, we spell out the circumstances under which a more active policy agenda on this front would be justified. Then, we offer tentative insights on the pros and cons as well as implementation challenges of various policy tools that can be used to contain the damage to the financial system and the economy from real estate boom-bust episodes.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Effect of Real Estate News Sentiment on the Stock Returns of Swedbank and SEB Bank written by Yuliia Puzanova and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nowhere to Go But Up written by Alexey Akimov and published by . This book was released on 2017 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study re-examines the sensitivity of global listed real estate markets to changes in market and Central Bank interest rates with respect to both their returns and volatility. Specifically the paper considers the recent period of relaxing monetary policies in the countries with the largest global listed real estate markets. The results confirm importance of the market interest rates in explaining daily changes in listed real estate prices. The significant results are dominated by the interest rates with longer maturity which reflects the common notion of real estate sector's exposure to the long-term financing. The paper covers the recent Global Financial Crisis and finds that the significant findings are not crisis-driven. The significance of the interest rate factors weakens during the most recent period of 2007-2015 when the countries in our sample implement expansionary monetary policy. Finally, the results of this paper are robust to the alternative specifications with additional control variables.

Download or read book The Postmodern Bank Safety Net written by Charles W. Calomiris and published by American Enterprise Institute. This book was released on 1997 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Federal deposit insurance may be "the single most destabilizing influence in the financial system," says economist Charles W. Calomiris in a new study published by AEI. Market discipline provides a better bank safety net than government insurance, he concludes. The Postmodern Bank Safety Net: Lessons from Developed and Developing Economies shows how government deposit insurance subsidizes the risks taken by banks. Weak banks deliberately and sometimes with impunity take on greater risks than they can afford. Undue risk-taking would not be tolerated were private market discipline brought to bear on banks, Calomiris argues. Market discipline would place the regulatory burden on sophisticated market participants with their own money at stake-a bank would survive only if it had investors, and those investors would be willing to risk their money only if they were able to evaluate the bank's risk. Currently, banks that hide loan losses can avoid paying increased deposit insurance costs. At the same time, Calomiris says, government regulators lack strong incentive to determine the true risk characteristics of bank assets-government regulators do not have their own money at stake and they face political pressure to maintain the credit supply. The results can be calamitous. In the 1970s and 1980s the Farm Credit System was increasingly willing to lend against questionable collateral while private banks withdrew from the market as lending risk increased. The system failed, gripping U.S. farmers in a debt crisis. Similarly, the savings and loan failures and the oil-related bank collapses in Texas and Oklahoma of the 19080s can be attributed to the failure of the bank safety net. And Chile, Mexico, and Japan have suffered financial collapses because their governments protected banks from self-inflicted losses.

Download or read book Accounting discretion of banks during a financial crisis written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2009-09-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that banks use accounting discretion to overstate the value of distressed assets. Banks' balance sheets overvalue real estate-related assets compared to the market value of these assets, especially during the U.S. mortgage crisis. Share prices of banks with large exposure to mortgage-backed securities also react favorably to recent changes in accounting rules that relax fair-value accounting, and these banks provision less for bad loans. Furthermore, distressed banks use discretion in the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks.

Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."

Download or read book Survey Data and the Interest Rate Sensitivity of Us Bank Stock Returns written by Christian C. P. Wolff and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide empirical evidence on the interest rate sensitivity of the stock returns of the twenty largest US bank holding companies. The main contribution of the paper is the use of survey data to model the unexpected interest rate variable, which is an alternative approach to the existing literature. We find evidence of significant negative interest rate sensitivity during the early 1980s, and evidence of declining significance in the late 1980s and early 1990s. This result is also obtained when using the forecast errors of ARIMA processes to model the unexpected movement in the interest rate.

Download or read book The Corporate Real Estate Household Government and Non Bank Financial Sectors Under Financial Stability written by Indranarain Ramlall and published by Emerald Group Publishing. This book was released on 2018-12-14 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Corporate, Real Estate, Household, Government and Non-Bank Financial Sectors Under Financial Stability undertakes a systematic approach to provide a complete analysis and risk assessment of each of these sectors which interact closely to financial stability.

Download or read book The Sensitivity of International Bank Stock Returns to Interest Rate and Foreign Exchange Rate Risks written by Gregory Thomas Russell and published by . This book was released on 1993 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Southern Economic Journal written by and published by . This book was released on 2002 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Versatility of the Real Estate Asset Class the Singapore Experience written by Kim Hin David Ho and published by Partridge Publishing Singapore. This book was released on 2021-02-22 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 takes a close look at two types of heterogeneous investors (momentum and disposition) to form a unique difference model, to interpret housing price dynamics. Three parameters are crucial, namely, auto-correlation, the rate of mean reversion and the contemporaneous adjustment towards long-term equilibrium price. The key implication is that the 2006 boom of the Singapore private housing market does not offer as large a magnitude as that from the price gain in the 1990's boom-and-recovery over the long-term. Singapore's private housing market is low risk, offering stable returns owing to virtually no divergence even in the speculative 1990s. The best way to invest is to consider the momentum strategy and avoid the herd behaviour for profit sustainability. For policy makers, the Singapore private housing market is over-damped in the long run. Chapter 2 adopts game theory to look at the private residential development oligopolistic market; the determination of residential development sale prices in an uncertain market and under incomplete information of competing developers; the dynamic interaction among developers; the time lags of the development project completion from project start; and the launching of the residential development for sale before completion and the residential development's own capacity constraints. Developers tend to cooperate for long-term benefit, leading to a sales slowdown. Relatively high profits, earnable in the first few periods, provide an allowance to price undercut others, to sell much faster. First-mover advantage in a new market is evident. As uncertainty rises, prices decrease while price variability increases. Chapter 3 looks at the institutional nature of legal origin and the total returns (TRs), derived from investing in a country's direct real estate, and via the adoption of a multi-factor arbitrage pricing theory (APT) model. The 1st and 4th order autoregressive model is adopted to de-smooth the TRs. De-smoothed data is used in conjunction with 2 macroeconomic variables (real GDP growth rate and interest rate) and 1 real estate risk factor (vacancy rate) to form the multi-factor structural model. A pooled panel analysis is conducted with the law-system dummies, denoting British legal origin and French legal origin, and the factor loadings (i.e. the sensitivity of the risk factor to the TRs). Macroeconomic and real estate risk factors in equilibrium affect the TRs. Vacancy rate commands high and significant risk premium owing to its direct impact on the TRs, relative to GDP growth rate and interest rate. Chapter 4 is concerned with the real estate mezzanine investment (REMI), a new financial instrument for Asia's real estate market, and examines the REMI structure, the measurement and characteristics of its risks and returns via a forward-looking binomial asset tree (BAT) model. Risk neutral pricing probability is adopted. REMI bears more risk than typical commercial bank loans, resulting in higher interest rates than pure equity. Different risk issues focus on two major sources - the financial loan to value (LTV) ratio risk and the real estate and capital markets risk. Chapter 4 fulfils the need to close the gap concerning the REMI structure and performance in the steady state, utilizing reliable, authoritative information and data sources. Lastly, Chapter 5 offers this book's conclusion.

Download or read book Corporate Payout Policy written by Harry DeAngelo and published by Now Publishers Inc. This book was released on 2009 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate Payout Policy synthesizes the academic research on payout policy and explains "how much, when, and how". That is (i) the overall value of payouts over the life of the enterprise, (ii) the time profile of a firm's payouts across periods, and (iii) the form of those payouts. The authors conclude that today's theory does a good job of explaining the general features of corporate payout policies, but some important gaps remain. So while our emphasis is to clarify "what we know" about payout policy, the authors also identify a number of interesting unresolved questions for future research. Corporate Payout Policy discusses potential influences on corporate payout policy including managerial use of payouts to signal future earnings to outside investors, individuals' behavioral biases that lead to sentiment-based demands for distributions, the desire of large block stockholders to maintain corporate control, and personal tax incentives to defer payouts. The authors highlight four important "carry-away" points: the literature's focus on whether repurchases will (or should) drive out dividends is misplaced because it implicitly assumes that a single payout vehicle is optimal; extant empirical evidence is strongly incompatible with the notion that the primary purpose of dividends is to signal managers' views of future earnings to outside investors; over-confidence on the part of managers is potentially a first-order determinant of payout policy because it induces them to over-retain resources to invest in dubious projects and so behavioral biases may, in fact, turn out to be more important than agency costs in explaining why investors pressure firms to accelerate payouts; the influence of controlling stockholders on payout policy --- particularly in non-U.S. firms, where controlling stockholders are common --- is a promising area for future research. Corporate Payout Policy is required reading for both researchers and practitioners interested in understanding this central topic in corporate finance and governance.