Manz, Florian ; Müller, Birgit ; Schiereck, Dirk (2020)
The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales.
In: Journal of Business Economics = Zeitschrift für Betriebswirtschaft, 90 (7)
doi: 10.1007/s11573-020-00983-1
Article, Bibliographie
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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.
| Item Type: | Article |
|---|---|
| Erschienen: | 2020 |
| Creators: | Manz, Florian ; Müller, Birgit ; Schiereck, Dirk |
| Type of entry: | Bibliographie |
| Title: | The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales |
| Language: | English |
| Date: | 2020 |
| Place of Publication: | Berlin ; Heidelberg |
| Publisher: | Springer |
| Journal or Publication Title: | Journal of Business Economics = Zeitschrift für Betriebswirtschaft |
| Volume of the journal: | 90 |
| Issue Number: | 7 |
| DOI: | 10.1007/s11573-020-00983-1 |
| URL / URN: | https://link.springer.com/article/10.1007/s11573-021-01060-x |
| Corresponding Links: | |
| 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. |
| Uncontrolled Keywords: | Non-performing loans, Distressed real estate, Restructuring, Banking sector, Real estate finance |
| Additional Information: | Special Issue: Recent Trends in Real Estate Research JEL Classifcation: G14 · G21 · R32 |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance |
| Date Deposited: | 11 Jan 2021 19:43 |
| Last Modified: | 19 Jul 2024 07:23 |
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| Suche nach Titel in: | TUfind oder in Google |
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The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales. (deposited 30 Apr 2024 11:12)
- The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales. (deposited 11 Jan 2021 19:43) [Currently Displayed]
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