是什么决定了资产净值息差的均值回归速度?

IF 2.1 Q2 URBAN STUDIES Journal of Property Research Pub Date : 2022-08-08 DOI:10.1080/09599916.2022.2105251

Alexander Schiller, René-Ojas Woltering, Christian Weis, Steffen P. Sebastian

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引用次数: 0

摘要

摘要在本文中，我们研究了219只房地产上市股票的NAV价差的均值回归行为。我们发现，以高折扣交易的公司的资产净值价差意味着恢复最快。值得注意的是，我们还提供了证据，证明在线搜索关注度影响NAV价差的平均回归速度：在线搜索关注程度较低的股票平均回归速度明显快于较高水平的股票。我们的全球研究环境使我们能够表明，一个国家的平均资产净值价差对个股的资产净值价差有影响。最终，我们发现，受到高度在线搜索关注的公司的资产净值价差对其他公司的资产价值价差有着不成比例的高影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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What determines the mean reversion speed of NAV spreads?

ABSTRACT In this paper, we study the mean reversion behaviour of NAV spreads for a global sample of 219 listed real estate stocks. We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts the mean reversion speed of NAV spreads: Stocks with lower levels of online search attention mean-revert significantly faster than those with higher levels. Our global research setting allows us to show that a country’s average NAV spread has an impact on the NAV spreads of individual stocks. Ultimately, we find that the NAV spread of companies receiving high levels of online search attention has a disproportionately high impact on the NAV spreads of other companies.

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来源期刊

Journal of Property Research URBAN STUDIES-

CiteScore

3.80

自引率

5.30%

发文量

期刊介绍： The Journal of Property Research is an international journal. The title reflects the expansion of research, particularly applied research, into property investment and development. The Journal of Property Research publishes papers in any area of real estate investment and development. These may be theoretical, empirical, case studies or critical literature surveys.