REAL ESTATE EXPOSURE OF US BANKING INDUSTRY STOCK RETURNS: EVIDENCE FROM COMMERCIAL AND RESIDENTIAL MARKETS

Author:

LEE Ming-Te1,KUO Shew-Huei2,LEE Ming-Long3

Affiliation:

1. Ming Chuan University

2. National Yunlin University of Science and Technology

3. National Dong Hwa University

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.

Publisher

Vilnius Gediminas Technical University

Subject

Strategy and Management

Reference109 articles.

1. Innovations in Interest Rates, Duration Transformation, and Bank Stock Returns

2. Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis

3. Commercial bank exposure and sensitivity to the real estate market;Allen, M. T.;Journal of Real Estate Research,1995

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