The Pricing of European Non-Performing Real Estate Loan Portfolios: Evidence on Stock Market Evaluation of Complex Asset Sales

Forthcoming, Journal of Business Economics

46 Pages Posted: 30 Jan 2020 Last revised: 6 Apr 2020

See all articles by Florian Manz

Florian Manz

Darmstadt University of Technology

Birgit Müller

Darmstadt University of Technology; Technische Universität München (TUM) - TUM School of Management

Dirk Schiereck

Darmstadt University of Technology

Date Written: January 7, 2020

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 to 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.

Keywords: Non-Performing Loans, Distressed Real Estate, Restructuring, Banking Sector, Real Estate Finance

JEL Classification: G14, G21, R32

Suggested Citation

Manz, Florian and Müller, Birgit and Schiereck, Dirk, The Pricing of European Non-Performing Real Estate Loan Portfolios: Evidence on Stock Market Evaluation of Complex Asset Sales (January 7, 2020). Forthcoming, Journal of Business Economics, Available at SSRN: https://ssrn.com/abstract=3515263 or http://dx.doi.org/10.2139/ssrn.3515263

Florian Manz

Darmstadt University of Technology ( email )

Universitaets- und Landesbibliothek Darmstadt
Magdalenenstrasse 8
Darmstadt, Hesse D-64289
Germany

Birgit Müller (Contact Author)

Darmstadt University of Technology ( email )

Hochschulstraße 1
Darmstadt, Hesse D-64289
Germany

Technische Universität München (TUM) - TUM School of Management ( email )

Germany

Dirk Schiereck

Darmstadt University of Technology ( email )

Universitaets- und Landesbibliothek Darmstadt
Magdalenenstrasse 8
Darmstadt, Hesse D-64289
Germany

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