Tail Dependence: Risk Spillover Effects in Public Real Estate Markets during Periods of Economic and Geo-Political Uncertainty - S. Milcheva, S.Stevenson
Expected release date: 2025-Q1
This project investigates tail dependence and spillover effects among industries impacted by recent economic and geopolitical disruptions, including COVID-19, the energy-induced inflation crisis, and recent geopolitical conflicts. Specifically, it examines global listed real estate markets, with a focus on spillover effects in the left-hand tail of the return distribution - the area representing substantial downturns. The project will assess these effects by sector and region, allowing for comparisons between pre- and post-crisis periods to better understand how crises versus non-crisis periods affect market behaviour.
The findings clarify how crisis periods affect risk exposure, contributing to a broader understanding of systemic risks in portfolios. They also provide critical insights into risk and systemic effects in portfolio management, especially during periods of heightened economic stress.
The insights are relevant for public real estate company managers who are concerned with their firm's share price performance, especially during times of crisis. Additionally, investors who incorporate public real estate into their portfolios will find the findings valuable in managing and balancing risk within their investments.