Banking crises and their effects on reits:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 138 S. graph. Darst. |
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Record in the Search Index
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|---|---|
| adam_text | IMAGE 1
TABLE OF CONTENT
CONTENT OVERVIEW ILL
TABLE O F CONTENT V
LIST O F TABLES VII
LIST O F FIGURES IX
LIST O F ABBREVIATIONS X
LIST O F SYMBOLS XI
1 INTRODUCTION 1
2 BANK FAILURES AND REIT RETURNS 7
2.1 INTRODUCTION 7
2.2 LITERATURE REVIEW 9
2.2.1 MARKET LIQUIDITY, BANK FAILURES AND REIT BEHAVIOR 9
2.2.2 CONTRIBUTION TO LITERATURE AND HYPOTHESES 10
2.3 DATA AND METHODOLOGY 12
2.3.1 DATA SELECTION AND DESCRIPTIVE STATISTICS 12
2.3.2 METHODOLOGY O F THE RETURN AND RISK EVENT STUDY 14
2.4 RESULTS 17
2.4.1 BANK FAILURES EFFECT ON THE ALL-REIT INDEX 17
2.4.2 BANK FAILURES EFFECT ON FOCUSED REIT INDICES 20
2.4.3 ROBUSTNESS ANALYSIS REGARDING POTENTIAL BIASES 26
2.4.4 MULTIVARIATE REGRESSIONS O F FOCUSED REIT INDICES ON THE ALL-REIT
INDEX 30
2.5 CONCLUSION 32
3 BANK BAILOUTS: REITS AND THEIR PERFORMANCE AS FINANCIAL STOCK.. 35
3.1 INTRODUCTION 35
3.2 LITERATURE REVIEW 37
3.2.1 MARKET LIQUIDITY, BANK BAILOUTS, AND REIT BEHAVIOR 37
3.2.2 CONTRIBUTION TO THE LITERATURE AND HYPOTHESES 39
3.3 DATA AND METHODOLOGY 40
3.3.1 DATA SELECTION AND STRUCTURE O F THE ANALYSIS 40
HTTP://D-NB.INFO/1035388154
IMAGE 2
VI BANKING CRISES AND THEIR EFFECTS ON REITS
3.3.2 METHODOLOGY O F THE RETURN AND RISK EVENT STUDY 42
3.4 RESULTS 45
3.4.1 BANK BAILOUTS EFFECT ON REITS AND OTHER FINANCIAL STOCKS 45
3.4.2 BANK BAILOUTS EFFECT ON FOCUSED REITS 48
3.4.3 BANK BAILOUTS EFFECT ON OTHER FINANCIAL STOCK SUB-SAMPLES 53
3.4.4 ROBUSTNESS ANALYSIS ON DIFFERENCES BETWEEN SINGLE BAILOUT DATES 55
3.4.5 MULTIVARIATE REGRESSIONS O F FSI CARS ON THE ALL-REIT SAMPLE 58
3.5 CONCLUSION 59
4 BANKING SYSTEM SHOCKS AND REIT PERFORMANCE 63
4.1 INTRODUCTION 63
4.2 LITERATURE REVIEW 67
4.2.1 FINANCIAL CRISIS AND GOVERNMENT INTERVENTION 67
4.2.2 CONTRIBUTION TO LITERATURE AND BASIC HYPOTHESIS 70
4.3 DATA AND METHODOLOGY 71
4.3.1 DATA SELECTION AND DESCRIPTIVE STATISTICS 71
4.3.2 METHODOLOGY FOR MEASURING STOCK RETURN RISK 73
4.3.3 STRUCTURE O F THE RETURN AND RISK ANALYSIS 77
4.4 RESULTS AND DISCUSSION 78
4.4.1 AVERAGE STOCK RETURNS AROUND BANK EVENTS 78
4.4.2 ABNORMAL STOCK RETURNS AROUND BANK EVENTS 82
4.4.3 STOCK VARIANCE ADJUSTMENTS AROUND BANK EVENTS 85
4.4.4 SHIFTS IN ASSET-TO-MARKET CORRELATION AROUND BANK EVENTS 89
4.4.5 BETA SHIFTS AROUND BANK EVENTS 92
4.4.6 DETERMINANTS O F VARIANCE ADJUSTMENTS AND DAILY RETURNS 95
4.5 CONCLUSION 98
5 CONCLUDING REMARKS 103
REFERENCES I L L
APPENDIX 121
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| language | English |
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| physical | VIII, 138 S. graph. Darst. |
| publishDate | 2013 |
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| spelling | Olliges, Jan-Willem Verfasser aut Banking crises and their effects on reits vorgelegt von Jan-Willem Olliges 2013 VIII, 138 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Regensburg, Univ., Diss., 2013 Immobilienfonds auf Aktien (DE-588)4250771-6 gnd rswk-swf Bankenkrise (DE-588)4209657-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Immobilienfonds auf Aktien (DE-588)4250771-6 s Bankenkrise (DE-588)4209657-1 s b DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025907064&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Olliges, Jan-Willem Banking crises and their effects on reits Immobilienfonds auf Aktien (DE-588)4250771-6 gnd Bankenkrise (DE-588)4209657-1 gnd |
| subject_GND | (DE-588)4250771-6 (DE-588)4209657-1 (DE-588)4113937-9 |
| title | Banking crises and their effects on reits |
| title_auth | Banking crises and their effects on reits |
| title_exact_search | Banking crises and their effects on reits |
| title_full | Banking crises and their effects on reits vorgelegt von Jan-Willem Olliges |
| title_fullStr | Banking crises and their effects on reits vorgelegt von Jan-Willem Olliges |
| title_full_unstemmed | Banking crises and their effects on reits vorgelegt von Jan-Willem Olliges |
| title_short | Banking crises and their effects on reits |
| title_sort | banking crises and their effects on reits |
| topic | Immobilienfonds auf Aktien (DE-588)4250771-6 gnd Bankenkrise (DE-588)4209657-1 gnd |
| topic_facet | Immobilienfonds auf Aktien Bankenkrise Hochschulschrift |
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