Master Thesis Online
The Impact of Crises on Real Estate Investment Trusts in Europe: A Markov Switching Model Approach
Marchal, Quentin 
Promotor(s) :
Hübner, Georges
Date of defense : 18-Jun-2024/25-Jun-2024 • Permalink : http://hdl.handle.net/2268.2/21107
Master Thesis - Quentin Marchal.pdfDetails
| Title : | The Impact of Crises on Real Estate Investment Trusts in Europe: A Markov Switching Model Approach |
| Author : | Marchal, Quentin
|
| Date of defense : | 18-Jun-2024/25-Jun-2024 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Moinas, Sophie |
| Language : | English |
| Number of pages : | 58 |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] The study examines the impact of various financial crises on Real Estate Investment Trusts (REITs) in Europe from 1990 to 2023, focusing on how these crises affect REIT performance across different countries and sectors. Utilizing both the Fama-French Five Factors Model for linear analysis and the Markov Switching Model for identifying regime shifts, the research reveals that REITs exhibit significant sensitivity to market conditions, particularly during crisis regimes. Market, size, and value risk premiums exhibit increased sensitivity during crises. Notable differences across countries and sectors emerged, with some exhibiting greater resilience or vulnerability during crisis periods.
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