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1.
Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables. 相似文献
2.
John L. Glascock Chiuling Lu Raymond W. So 《The Journal of Real Estate Finance and Economics》2002,24(3):301-317
Contrary to the Fisherian theory of interest, previous studies document a negative relationship between REIT (Real Estate Investment Trust) returns and inflation. In this research, we re-examine this perverse inflation behavior by testing for the causal relationships among REIT returns, real activity, monetary policy, and inflation through a vector error correction model. Our results indicate that the observations of REIT returns as perverse inflation hedges are spurious. The observed negative relationship between REIT returns and inflation is in fact a manifestation of the effects of changes in monetary policies. These findings are consistent with Darrat and Glascocks (1989) evidence of monetary effects on REIT returns. 相似文献
3.
Hsuan-Chi?Chen Robert??Fok Chiuling?Lu 《The Journal of Real Estate Finance and Economics》2011,43(3):359-384
We analyze how the unique characteristics of real estate investment trusts (REITs) affect IPO lockup agreements from 1980
to 2006. The findings show that, unlike industrial IPOs, lockup periods for REIT IPOs do not cluster at 180 days, tend to
cover longer periods, and vary over time. Our results support the commitment device hypothesis instead of the signaling hypothesis.
That is, REIT managers tend to use lockup agreements to alleviate moral hazard problems and protect post-IPO investors rather
than to send signals to investors. Finally, contrary to previous studies, we find no significant negative abnormal returns
around the unlock date for the whole sample. The lack of aggressive sales by insiders and the fact that REITs are not backed
by venture capitalists can explain our finding. 相似文献
4.
This paper examines the share price reactions of small commercial banks to the announcement of the Basle Accord. Previous
studies document that large banks have negative price reactions to the announcement of the accord. Findings here show that
small banks have positive share price reactions. Our overall evidence gives some support to the notion that small banks had
excessive capital before the Basle Accord, and the Accord created wealth effects in the banking industry. 相似文献
5.
Glascock John L. Lu Chiuling So Raymond W. 《The Journal of Real Estate Finance and Economics》2000,20(2):177-194
This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992. 相似文献
6.
The Journal of Real Estate Finance and Economics - We find that REITs, which are most held by institutional investors and are characterized as being passive investment instruments, exhibit price... 相似文献
7.
Chiuling Lu Yiuman Tse Michael Williams 《Review of Quantitative Finance and Accounting》2013,40(2):293-318
We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing REIT prices. We find that US REIT returns are contemporaneously correlated with other REITs most strongly during the bubble and crash market conditions where the US REIT market is an almost unilateral transmitter of returns. We also find that the Value at Risk (VaR) of the least capitalized REIT markets is proportionally higher during base/normal market conditions but that the largest REIT markets have the highest VaR contribution during the crash (financial crisis) period. Overall, our evidence indicates that REIT market risk shifted to the largest REIT markets and that diversification benefits eroded considerably during turbulent market conditions. 相似文献
8.
Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies
Chiuling?LuEmail author Raymond?W.?So 《The Journal of Real Estate Finance and Economics》2005,31(2):189-206
This paper studies the return relationships between listed banks and real estate firms in seven Asian economies before and after the Asian financial crisis. We find that listed banks were exposed to real estate risk both before and after the crisis, but that the exposure increased in the post-crisis period. After the crisis, the hidden risk of real estate collateral in the bank lending process was explicit, as was evidenced by the increased sensitivity and the structure break. In terms of causality, the returns of listed real estate firms are found to Granger-cause the returns of listed banks. However, there is mixed evidence as to whether listed bank returns Granger-cause the returns of listed real estate firms. The study is significant because it indicates the importance of lending policies in relation to the real estate market in establishing a healthy financial system. 相似文献
9.
Yang-pin Shen Chiuling Lu Zong-Han Lin 《The Journal of Real Estate Finance and Economics》2012,44(3):394-413
We investigate the net effect between diversification benefit and information cost of international real estate mutual funds
from three dimensions: whether investors can benefit from investing in international real estate mutual funds, whether managers
of international real estate mutual funds possess superior market knowledge and timing abilities, and whether investors are
motivated by returns or diversification. Our findings are threefold. First, the results show that international real estate
mutual funds perform better and are less risky than domestic real estate mutual funds before Jun 2007. That is, diversification
benefits outweigh the information costs, and investors therefore gain from investing in international real estate mutual funds.
However, the benefit is reduced because of the economic shock of sub-prime financial crisis. Second, on average, neither international
mutual fund managers nor domestic mutual fund managers possess market timing abilities. Finally, we find that fund flows are
driven by investors’ return-chasing behaviors and fund size, but not by diversification purpose. 相似文献
10.
Previous studies have documented the reversal in the initial returns of REIT IPOs from overpricing in the 1980s to underpricing
in the 1990s. We find that the gross spreads of REIT IPOs decreased significantly in the 1990s. In particular, there is a
bimodal clustering for gross spreads at 6.5 and 7.0%. Moreover, in the 1980s around 94% of REIT IPOs had integer offer prices,
most of which were priced at either $10 or $20. However, the proportion of integer offer prices decreased to 64% in the 1990s.
Higher gross spreads, overpricing, and high frequency of integer offer prices for REIT IPOs in the 1980s are consistent with
the marketing hypothesis that in the 1980s REIT IPOs were mainly marketed to less-informed individual investors. Our results
explain the dynamic process employed by underwriters in the setting of gross spreads and the pricing of REIT IPOs as a new
financial product in response to various structural changes in REITs. 相似文献