Real estate exposure of US banking industry stock returns: evidence from commercial and residential markets
Abstract
This study is the first to address the exposure of banking industry stock returns to both the commercial and residential real estate markets. The empirical findings show that U.S. banking industry stock returns are significantly sensitive to real estate market returns after controlling for stock market, interest rate, and exchange rate effects. Moreover, the commercial and residential real estate markets have very different effects on banking industry stock returns. Furthermore, the effects on banking industry stock returns are state-dependent. The findings have valuable implications for investors, managers and regulatory authorities.
Keywords:
real estate, bank, stock return, commercial real estate, residential real estate, quantile regressionHow to Cite
Lee, M.-T., Kuo, S.-H., & Lee, M.-L. (2018). Real estate exposure of US banking industry stock returns: evidence from commercial and residential markets. International Journal of Strategic Property Management, 22(1), 12-23. https://doi.org/10.3846/ijspm.2018.319
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Copyright (c) 2018 The Author(s). Published by Vilnius Gediminas Technical University.
This work is licensed under a Creative Commons Attribution 4.0 International License.
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Lee, M.-T., Kuo, S.-H., & Lee, M.-L. (2018). Real estate exposure of US banking industry stock returns: evidence from commercial and residential markets. International Journal of Strategic Property Management, 22(1), 12-23. https://doi.org/10.3846/ijspm.2018.319