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Journal of Business Economics

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Open Access 20.04.2020 | Original Paper

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

verfasst von: Florian Manz, Birgit Müller, Dirk Schiereck

Erschienen in: Journal of Business Economics | Ausgabe 7/2020

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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.

Vorheriger Artikel Exploring the determinants of real estate liquidity from an alternative perspective: censored quantile regression in real estate research

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From January 2013, the Zeitschrift für Betriebswirtschaft (ZfB) is published in English under the title Journal of Business Economics (JBE). The Journal of Business Economics (JBE) aims at encouraging theoretical and applied research in the field of business economics and business administration, promoting the exchange of ideas between science and practice.

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Examples of the difficulties would be “Residential real estate” vs. “RESI”; “Deutsche Bank AG” vs. “Deutsche Bank”; “UK” vs. “England” etc.

We include an extended estimation period of 273 trading days, i.e. one full trading year, in the robustness checks. The variation did not influence the overall result.

See Appendix E for descriptive statistics of all applied variables.

The Online Appendix can be found in the online version of the article available at SSRN.

Further information can be found in Appendix A that reports the opportunistic investors Cerberus, Lone Star and Blackstone to be active buying parties, accounting for a large oligopoly share in the secondary market that the regulator currently aims to strengthen (ECOFIN, 2018).

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Titel: The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales
verfasst von: Florian Manz
Birgit Müller
Dirk Schiereck
Publikationsdatum: 20.04.2020
Verlag: Springer Berlin Heidelberg
Erschienen in: Journal of Business Economics / Ausgabe 7/2020
Print ISSN: 0044-2372
Elektronische ISSN: 1861-8928
DOI: https://doi.org/10.1007/s11573-020-00983-1

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