The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales

Florian Manz, Birgit Müller and Dirk Schiereck

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: Recent empirical evidence raises doubt about the ability of financial market participants to generate information efficient valuations for capital market instruments whose cash flows are related to residual claims and dependent on real estate income. We contribute to this literature with the examination of value implications of non-performing loan (NPL) divestitures in the banking industry during the period 2012–2018. In a first step, we provide descriptive statistics of the European NPL market, which lacks transparency and publicly available basic information on portfolio size and components. We then analyze wealth effects of distressed loan sale announcements for a uniquely large transaction database with 317 NPL deals, which is largely driven by real estate collateral. Our results show positive stock market reactions for vendor banks following NPL divestitures that tend to be driven by real estate collateral and a size effect.

Date: 2024-04-30
New Economics Papers: this item is included in nep-ban and nep-ure
Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/144672/
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Business Economics = Zeitschrift für Betriebswirtschaft 7 (2024-04-30) : pp. 1087-1120

Downloads: (external link)
https://tuprints.ulb.tu-darmstadt.de/23975
https://doi.org/10.1007/s11573-021-01060-x
https://doi.org/10.1007/s11573-020-00983-1

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dar:wpaper:144672

Access Statistics for this paper

More papers in Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) Contact information at EDIRC.
Bibliographic data for series maintained by Dekanatssekretariat ().