Activity-based clustering of real estate stock companies and the varying adjustment to shocks

Real estate stock companies’ price fluctuations have been analysed extensively, particularly in terms of regional focus and investment type. However, the activities on which the real estate stock corporations focus have not yet been thoroughly analysed. The intensity to which these companies participate in various real estate segments of the value chain and within different sectors may lead to differing capital market performances. This is because individual activities may be more susceptible to shocks or valued differently by capital markets. This study clusters real estate stock companies in the German-speaking region (DACH region) according to their revenue structures along two dimensions: business segments (along the value chain) and sectors (real estate asset classes). Based on a novel dataset, the analysis identifies four statistically robust clusters among real estate stock companies. These four clusters can be viewed as different business models. Stock indices are then computed for these four clusters, and their performance during crises is analysed. Granger causality tests, changepoint analysis and three volatility measures are employed to investigate these reactions. The results underscore that these clusters react differently to the selected shocks. These insights serve as a basis for systematic benchmarking and enrich the understanding of stock market performances and resilience of different real estate business models across market phases.