Stock Price Dynamics of US REITs: The Effect of Short Selling, Covid-19, and ESG

Table of Contents
List of Figures
List of Tables
List of Abbreviations
1 Introduction
2 Modified Fama-French Factors for REITs and the
Impact of Short Selling
	2.1 Introduction
	2.2 Data Sources and Variable Construction
	2.3 Empirical Analysis
	2.4 Conclusion
3 Impacts of the Covid-19 Crisis on US Real Estate Investments: A Sectoral Performance and Spillover
Analysis
	3.1 Introduction
	3.2 Previous Literature
	3.3 Data and Method
	3.4 Performance Metrics
		3.4.1 Total Return
		3.4.2 Volatility
		3.4.3 Tail Risk
	3.5 Spillover Analysis
		3.5.1 Unadjusted - Total Return - Spillover Analysis
		3.5.2 Stock Market Adjusted - Total Return - Spillover Analysis
		3.5.3 Stock Market and Real Estate Market Adjusted - Total Return
Spillover Analysis
		3.5.4 Unadjusted - Volatility - Spillover Analysis
		3.5.5 Stock Market Adjusted - Volatility - Spillover Analysis
		3.5.6 Stock Market and Real Estate Market Adjusted - Volatility -
Spillover Analysis
		3.5.7 Unadjusted - Tail Risk - Spillover Analysis
		3.5.8 Stock Market Adjusted - Tail Risk - Spillover Analysis
		3.5.9 Stock Market and Real Estate Market Adjusted - Tail Risk -
Spillover Analysis
		3.5.10 Combined Results - Spillover Analysis
	3.6 Conclusion
4 ESG Stocks in Times of Crisis: Evidence from US
REITs During Covid-19
	4.1 Introduction
	4.2 Previous Literature
	4.3 Data and Method
	4.4 Performance Metrics
		4.4.1 Total Return
		4.4.2 Volatility
		4.4.3 Tail Risk
	4.5 Before and During Covid-19 Comparison
	4.6 Conclusion
5 Summary and Conclusion
References
Appendix A.1
Appendix A.2
Appendix C