IDEAS home Printed from https://ideas.repec.org/p/dar/wpaper/144672.html
   My bibliography  Save this paper

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

Author

Listed:
  • Manz, Florian
  • Müller, Birgit
  • Schiereck, Dirk

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.

Suggested Citation

  • Manz, Florian & Müller, Birgit & Schiereck, Dirk, 2024. "The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 144672, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:144672
    DOI: 10.1007/s11573-021-01060-x
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/144672/
    as

    Download full text from publisher

    File URL: https://tuprints.ulb.tu-darmstadt.de/23975
    Download Restriction: no
    File URL: https://doi.org/10.1007/s11573-021-01060-x
    Download Restriction: no
    File URL: https://doi.org/10.1007/s11573-020-00983-1
    Download Restriction: no
    File URL: https://libkey.io/10.1007/s11573-021-01060-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dar:wpaper:144672. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dekanatssekretariat (email available below). General contact details of provider: https://edirc.repec.org/data/ivthdde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.