The real estate risk of hospitality firms: Examining stock-return sensitivity to property values

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• 作者：Seul Ki Lee^a ; ¹ ; ^{lee119@purdue.edu} ; SooCheong (Shawn) Jang^b ; ^{jang12@purdue.edu}
• 关键词：Stock-return exposure ; Real estate risk ; Arbitrage pricing theory (APT) ; Two-factor model ; Risk premium
• 刊名：International Journal of Hospitality Management
• 出版年：2012
• 期刊代码：25_02784319
• 类别：bus
• 出版时间：September, 2012
• 卷：31
• 期：3
• 页码：695-702
• 文件大小：323 K

摘要

The value of a hospitality firm is often believed to be dependent on the market price of the properties they own. However, the core business of a hospitality firm is the production of products and services. Since the real estate assets are depreciated throughout their useful life, short-term covariance of firm value with real estate prices seems implausible. Using a two-factor model, the current study examined the real estate exposure of US hospitality firms through daily stock return data from 2005 to 2009. Results indicate that the majority (88%) of the hospitality firms were exposed to real estate risk at some point during the sample period, while the second-stage analysis of real estate betas suggests that exposure is conditional on the financial status of the hospitality firm. Implications and suggestions for future research are presented with the findings of the study.