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 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 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 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 Towers of Capital written by Colin Lizieri and published by Wiley-Blackwell. This book was released on 2009-07-07 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are global city office markets inherently unstable? This examination of office markets in major world cities analyses the flows of capital that create urban form, the nature of ownership, investment and occupation and the impact of office markets on economic stability. Towers of Capital – office markets & international financial services explores the relationship between the evolution of major international financial centres as part of the global capital market system, the development of office markets in those cities, real estate investment in those office markets and the patterns of risk and return that result from the interactions between financial flows and office markets. Rather than focusing on just one single aspect of the relationship, Colin Lizieri sets out the interconnections between the location of financial activity, the processes operating in office markets and the volatility of real estate returns. The resulting schematic model of IFC office markets provides insights into risk and will act as a springboard for subsequent empirical work. Towers of Capital develops a framework for understanding real estate and the transformation of the built environment in financial centres, based both on the development of global capital markets and on micro-level research into the functioning of office markets. By drawing together the insights, models and ideas that address global capital flows, the evolution of city systems, office market processes and real estate finance, the book will help students and researchers in property and urban planning, investors and policy advisors to understand the linkages between the evolution of financial markets, innovation in commercial real estate markets and the dynamics of the office markets in global cities.

Download or read book Three Essays on Financial Institutions and Real Estate written by Robert Deacle and published by . This book was released on 2011 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines several aspects of U.S. financial institutions' real estate-related activity. The first two essays examine the impact of Federal Home Loan Bank (FHLB) membership and funding on bank and thrift holding company (BHC and THC) risk and returns. The first essay uses risk measures derived from BHC and THC stock prices, while the second essay uses risk measures based upon BHC and THC bond prices. The third essay studies the impact of BHC investment in real estate on risk and returns using measures based on stock prices. In the first essay, BHC and THC stock portfolios are formed along several dimensions. Bivariate generalized autoregressive conditional heteroskedasticity (GARCH) models are estimated to produce measures of total risk, market risk, and interest rate risk for the time period from the beginning of 2001 through 2009. Two sets of results related to FHLB activity are obtained. First, FHLB membership is found to be associated with lower total risk and market risk while having no association with interest rate risk. Second, and similarly, greater reliance on FHLB advances is associated with lower total risk and market risk but is not associated with interest rate risk. These results are consistent with the view that the risks created by government backing of the FHLB system and some of the system's policies are mitigated by FHLB policies and products that reduce risk. In addition, THC stocks are found to have lower total and market risk than the portfolio of BHC stocks. The second essay investigates the relationship of both FHLB membership and funding with BHC and THC risk by using the cost of uninsured debt as a measure of risk. These relationships are analyzed in a simultaneous equation regression framework using data from the start of the third quarter of 2002 through the end of the first quarter of 2009. The cost of uninsured debt is proxied by yield spreads calculated from trading data on holding company (HC) bonds. Several interesting results are obtained. Reliance on advances is found to have a negative effect on the cost of debt throughout the sample period (the third quarter of 2002 through the first quarter of 2009). Cost of debt has a significant effect on the level of advances only during the recent financial crisis (the third quarter of 2007 through the first quarter of 2009), when the effect is negative. The negative association between cost of debt and the level of advances suggests that BHCs and THCs, on the whole, do not use FHLB advances to make unusually risky loans and supports the argument that FHLB policies and services have some risk-reducing effects. FHLB membership, independent of advances, is found to have no influence on HC cost of debt. Additional analysis indicates that THC status is associated with higher cost of debt than BHC status. The third essay examines the influence of real estate investment by BHCs from the third quarter of 1990 through the fourth quarter of 2010 on their risks and returns. Portfolios are formed of BHC stocks according to BHCs' ratio of real estate investment to total assets and according to the type of regulation - lenient or strict - under which they invest in real estate. Tests of differences in median portfolio returns between these portfolios are performed. In addition, the effects of real estate investment on risk and return are estimated using univariate GARCH models of portfolio returns. The main results are as follows: 1) BHCs that invest in real estate have greater total risk and lower risk-adjusted returns than those that do not; 2) greater real estate investment is associated with lower returns and greater market risk for some types of BHCs while it is not associated with significant differences in total risk or risk-adjusted returns; and 3) BHCs that invest in real estate under relatively lenient rules have lower returns, greater total risk, and lower risk-adjusted returns than those that invest in real estate under relatively strict rules. The results indicate that benefits from real estate investment by banks - such as diversification of cash flows, economies of scale and scope, and increased charter value - are outweighed by greater variability of returns and lower returns due to BHCs' lack of expertise in the field. The findings also provide evidence that rules granting banks greater freedom to invest in real estate result in increased risk but not increased returns.

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 Understanding German Real Estate Markets written by Tobias Just and published by Springer. This book was released on 2016-10-06 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, experts discuss how German real estate values have remained stable throughout the financial crisis, even though transaction volumes have been very volatile since 2005. Consequently, risk-averse national and international investors have started to invest in virtually all German real estate asset classes. This book tries to answer what has made the German real estate markets more resilient to shocks than many European real estate markets by analyzing the economic, regulatory and demographic environment. In 30 well-structured chapters, experts from both the academic and professional world analyze structural and current issues of German real estate markets. Readers will get a deep understanding of what makes the German real estate market special and where potential opportunities and threats in Europe’s largest real estate market exist.

Download or read book Housing Finance and Real Estate Booms written by Mr.Eugenio Cerutti and published by International Monetary Fund. This book was released on 2015-06-03 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global crisis highlighted the risks stemming from real estate booms. This has generated a growing literature trying to better understand the sources and the risks associated with housing and credit booms. This paper complements and supplements the previous work by (i) exploiting more disaggregated data on credit allowing us to dissociate between firm-credit and household (and in some cases mortgage) credit, and (ii) by taking into account the characteristics of the mortgage market, including institutional as well as other factors that vary across countries. This detailed cross-country analysis offers new valuable insights.

Download or read book Banking and Trading written by Mr.Arnoud W.A. Boot and published by International Monetary Fund. This book was released on 2012-10-02 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with the ability to generate risk from concentrated positions. When a bank engages in trading, it can use its ‘spare’ capital to profitablity expand the scale of trading. However, there are two inefficiencies. A bank may allocate too much capital to trading ex-post, compromising the incentives to build relationships ex-ante. And a bank may use trading for risk-shifting. Financial development augments the scalability of trading, which initially benefits conglomeration, but beyond some point inefficiencies dominate. The deepending of the financial markets in recent decades leads trading in banks to become increasingly risky, so that problems in managing and regulating trading in banks will persist for the foreseeable future. The analysis has implications for capital regulation, subsidiarization, and scope and scale restrictions in banking.

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 The Effects of the Real Estate Crisis on Institutional Stock Prices written by Chinmoy Ghosh and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates the contagious movement of financial institutions' common stock prices in response to real estate news. The basic hypothesis is that because real estate assets are traded infrequently, the market has incomplete information about their true value. The stock price reaction by banks, thrifts and insurance companies to announcements of poorly performing real estate portfolios is studied. Consistent with the hypothesis, significantly negative reactions obtain, both within and across industries, to these announcements. Reflecting the differential regulatory environment and disclosure policies, insurance companies, in general, react more strongly to adverse real estate news. Also, the price reaction of an individual firm is significantly associated with the level of its real estate exposure.

Download or read book The Real Estate Market Risk of Banks Evidence of its Importance and Consequences for Managing Risk in Real Estate Lending written by Carsten Lausberg and published by . This book was released on 2009 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate lending is a risky business. There is ample evidence from many countries for heavy bank losses or even failures caused by defaulted real estate loans. Particularly during real estate crises the losses tend to rise dramatically so that in some cases the banking system as a whole is endangered. It seems that lenders do not have the right instruments for managing all the risks inherent to real estate loans. On the other hand proper instruments cannot exist if the nature of real estate risks is not completely known. Therefore it is necessary to create new risk management instruments based on a sound analysis of real estate risks and of the demands on risk management.(This paper is an extract from my doctoral dissertation titled quot;The Real Estate Market Risk of German Banksquot;, written between 1994 and 1998. In 2004 I wrote an update with the title quot;The Real Estate Market Risk of Banks - Revisitedquot;, see http://ssrn.com/abstract=947987). It seems that it is high time to write another update in the light of the events of the worldwide financial crisis that followed the US subprime crisis!).

Download or read book Financial Stability Monitoring written by Tobias Adrian and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.

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.

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book Risk in the Global Real Estate Market written by Mike C. I. Nwogugu and published by Wiley. This book was released on 2012-02-28 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essential reading for professional investors, risk managers, regulators, central bankers, and real estate professionals, Risk in the Global Real Estate Market: International Risk Regulation, Mechanism Design, Foreclosures, Title Systems, and REITs takes an international look at the ways in which U.S.-style constitutional laws, financial laws, and real estate laws in various countries affect global economics and risk; and analyzes specific constraints that deter market development such as Asset Liability Matching, inappropriate financial products, land title systems, inefficient constitutions and human biases. The sub-prime mortgage crisis (that began around 2006) and the Global Financial Crisis of 2007–2010 disrupted the economies of various countries and exposed many of the psychological, social, and economic problems inherent in the legal/risk infrastructure for mortgages, land title systems, REITs, securitization, and pensions. In this remarkable new book, Michael Nwogugu explains how these processes and statutes are unconstitutional and inefficient, and how they influence demand for housing, real estate prices, retirement savings, household wealth, consumer disposable income, marriage opportunities, job markets, crime, and regional economic growth. The resulting major economic and public health problems have continued to reduce the quality-of-life of nations, and continue to cause permanent declines in wealth, increases in crime and delinquency, high divorce rates, depression, and inadequate job creation, among other problems. The book examines a range of fields—including mechanism design, psychology, risk finance, and corporate governance; and emphasizes Constitutional economics as a distinct dimension of risk analysis. Risk in the Global Real Estate Market makes a compelling case about how constitutional torts increase information asymmetry, transaction costs, agency problems, and compliance costs, as well as inefficiency in real estate transactions. These problems, the book argues, are not unique to the United States, but also affect Commonwealth countries and other nations that have developed regulations that are similar to, or are based on U.S. commercial, securities, and or constitutional laws. Risk in the Global Real Estate Market presents a novel analysis of the sub-prime crisis (that first began in 2006), the failure of securitization (CMBS/MBS) markets, the Global Financial Crisis, and socio-economic problems caused by traditional mortgages and securitization. The book reveals that many of the statutes and processes that define mortgages, foreclosures, securitization, and REITs in the United States (and many common-law countries and nations that have adopted American-style real estate regulations) are fundamentally unconstitutional and inefficient, and have lasting negative effects on consumer psychology, the demand for real estate, price discovery in property markets, economic growth, and quality of life. The book examines the nature of constitutional torts and property rights as the foundation for business transactions and economic growth within the context of risk regulation, interstate commerce, takings, and legislation. Risk in the Global Real Estate Market introduces new theories of consumer psychology and institutional dynamics in real estate transactions; presents new theories of takings, and also surveys psychology/psychiatry studies (based on data from various countries) that confirm the harmful effects of mortgages, securitization, and foreclosures. Using elements of mechanism design, Michael Nwogugu develops new efficient financial products (Mortgage-Alternatives products), and presents a policy framework for a unified “Mortgage-Alternatives” market for the CEE/CIS region and China. He also explains why Asset Liability Matching hinders lending, capital formation and risk management, especially in developing countries.