The performance of Chinese real estate firms: media concerns and special treatment status

The proportion of Chinese listed real estate firms under special treatment (ST) is an important but lagging financial risk indicator for investing in Chinese real estate funds. In this paper, we propose to use media concerns about real estate as an early warning indicator of financial risk. Using regression analysis, we confirm their predictive value for the proportion of ST real estate firms in China. Furthermore, we show the financial value of the news-based early warning indicator for a risk on/off tactical asset allocation portfolio invested in the CSI 300 Real Estate Index.