Real Estate Exposure of Us Banking Industry Stock Returns: Evidence From Commercial and Residential Markets

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.

Measuring systemic risk and dependence structure between real estates and banking sectors in China using a CoVaR‐copula method

“…They also find evidence for the impact of geographical proximity. Lee, Kuo, and Lee (2018) identify the sources of risk for U.S. banking industry stock returns by considering REITs returns. However, it has to be noted that there are currently no standard REITs in the Chinese mainland because of the local law and financial market environment.…”