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波动性和房地产股权回报的横截面在Covid-19期间
1Bartlett Faculty, University College London, 1-19 Torrington Place, London, WC1E 7HB UK.
概括
在美国和亚洲,COVID-19大流行对房地产股票产生了不同的影响. 与亚洲公司不同,具有更高的流行病风险的美国公司表现更差,揭示了风险-回报关系的区域差异.
科学领域:
- 金融 金融 金融 金融 金融
- 房地产经济学 房地产经济学
- 流行病经济学 流行病经济学
背景情况:
- 随着COVID-19的爆发,全球出现了独特的系统性冲击.
- 了解它对金融市场,特别是房地产股票的影响至关重要.
研究的目的:
- 在COVID-19大流行期间评估美国和亚洲房地产股票的风险回报关系.
- 分析流行病风险暴露对不同地区库存表现的影响.
主要方法:
- 建设区域Covid-19风险因素 (CRF).
- 对股票表现和市场敏感性的分析.
- 应用Fama-MacBeth回归来检查回报-风险关系.
主要成果:
- 亚洲和美国房地产库存之间观察到的实质差异.
- 疫情初期亚洲公司的市场敏感性为负,美国公司的市场敏感性为正.
- 美国零售和酒店业受到影响最大;亚洲办公部门受影响最大.
- 疫情期间出现了显著的负面回报风险关系,这是由估值效应驱动的.
- 与亚洲不同的是,具有更高流行病风险的美国公司表现不佳.
结论:
- 该研究强调了美国和亚洲房地产公司在疫情爆发时的期望和业绩的显著差异.
- 之前的流行病经验可能会影响区域反应和市场行为.
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