Real Estate Exposure and Bank Share Price Synchronicity

Lucia Gibilaro and Gianluca Mattarocci

Journal of Real Estate Portfolio Management, 2016, vol. 22, issue 2, 147-157

Abstract: Executive Summary. Opaque assets can affect the stock price dynamics of banks due to the lower amount of information available in the market. Real estate is considered an opaque asset but there is no evidence of the impact of real estate exposure on stock price dynamics. In this paper, we evaluate the effect of real estate exposure on bank price synchronicity for lenders with different exposures in real estate lending. The results show that exposure in the real estate sector can negatively affect the degree of synchronicity, but the risk of losses is lower for real estate banks even if the exposure to crash risk is almost the same with respect to other banks. If we consider diversified portfolios, investors more interested in real estate banks reduce their risk exposure by investing only in big players.

Date: 2016
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DOI: 10.1080/10835547.2016.12089988

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