共查询到20条相似文献,搜索用时 31 毫秒
1.
Robert D. Campbell Erasmo Giambona C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2009,38(2):105-114
We study long-horizon shareholder returns in a comprehensive sample of Real Estate Investment Trust (REIT) mergers, to test
whether or not the anomaly of post-merger underperformance observed in conventional firms applies to the case of REITs. Constructing
synthetic benchmark portfolios controlling for firm size and for book-to-market value ratio, we find that 60-month buy-and-hold
abnormal returns for REIT acquirers are significantly negative at approximately −10%, supporting the position that REIT merger
acquirers underperform non-merging REITs in the long run. We find no evidence to challenge previous studies reporting positive
announcement period returns for acquirers when the target is privately held, but we do find evidence that these positive returns
do not persist. The long term performance of acquiring REITs is approximately the same whether the target is public or private.
相似文献
C. F. SirmansEmail: |
2.
We examine Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs) that went public between 1986 and 2004.
Consistent with previous studies, we find that REIT IPOs are associated with lower levels of underpricing relative to traditional
issues. We also find that REITs are associated with smaller file price revisions. Both findings are potentially attributable
to the lower level of uncertainty associated with pricing REITs. In contrast, using an alternative measure of issuance costs
that incorporates the share retention decision by preexisting owners, we find no significant difference between REIT and non-REIT
issues, suggesting the results of previous studies are not robust to various specifications of issuance cost and that preexisting
owners do not necessarily benefit from the lower level of underpricing. Additionally, we find no difference in the issuance
costs of equity versus mortgage REITs, particularly once we control for the use of umbrella partnerships.
相似文献
Mark K. PylesEmail: |
3.
Mine Ertugrul Özcan Sezer C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2008,36(1):53-80
This paper studies the determinants of corporate hedging practices in the REIT industry between 1999 and 2001. We find a positive
significant relation between hedging and financial leverage, indicating the financial distress costs motive for using derivatives
in the REIT industry. Using estimates of the Black–Scholes sensitivity of CEO’s stock option portfolios to stock return volatility
and the sensitivity of CEO’s stock and stock option portfolios to stock price, we find evidence to support managerial risk
aversion motive for corporate hedging in the REIT industry. Our results indicate that CEO’s cash compensation and the CEO’s
wealth sensitivity to stock return volatility are significant determinants of derivative use in REITs. We also document a
significant positive relation between institutional ownership and hedging activity. Further, we find that probability of hedging
is related to economies of scale in hedging costs.
相似文献
C. F. SirmansEmail: |
4.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
5.
The Determinants of REIT Cash Holdings 总被引:1,自引:0,他引:1
William G. HardinIII Michael J. Highfield Matthew D. Hill G. Wayne Kelly 《The Journal of Real Estate Finance and Economics》2009,39(1):39-57
The factors influencing the cash holdings of REITs are examined with the view that the REIT industry should yield new information
regarding the drivers of corporate cash policy due to their unique operating conditions. The availability of REIT line of
credit data also allows us to test the association between cash holdings and line of credit access and use. Data constraints
in prior investigations have left this an unresolved empirical question in the cash holdings literature. The baseline results
show that REIT cash holdings are inversely related to funds from operations, leverage, and internal advisement and are directly
related to the cost of external finance and growth opportunities. Cash holdings are also negatively associated with credit
line access and use. The results imply that REIT managers elect to hold little cash to reduce the agency problems of cash
flow thereby increasing transparency and reducing the future cost of external capital.
相似文献
G. Wayne KellyEmail: |
6.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
Kevin C. H. ChiangEmail: |
7.
Zhilan Feng Chinmoy Ghosh C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2007,35(3):225-251
We analyze director compensation for Real Estate Investment Trusts (REITs) and investigate the relations between director
compensation and other measures of the board independence and board monitoring. Using 136 REITs in 2001, we find that REITs
that pay higher equity-based compensation to their board members are associated with higher financial performance. Our data
indicate that board equity-based compensation is positively related to the existence of an independent nomination committee,
however, it has no significant relationship with board size, proportion of outside directors, CEO duality and CEO tenure and
ownership.
相似文献
Zhilan FengEmail: |
8.
Zhilan Feng Chinmoy Ghosh C. F. Sirmans 《The Journal of Real Estate Finance and Economics》2007,35(4):385-410
This paper examines the relationship between CEO entrenchment and dividend policy of real estate investment trusts (REITs).
We develop an index for CEO entrenchment using CEO tenure and duality and find that this index has significant impact on dividend
policy. We further separate our sample into two sub-groups: REITs with and without nomination committees. Our analyses show
a strong positive relationship between CEO entrenchment level and dividend payout for REITs without a nomination committee.
In REITs with nomination committees, CEO entrenchment has less influence on dividend policy. We conclude that dividend policy
serves as a substitution for other governance mechanisms. Further, our results are consistent with the evidence for other
US firms—CEO that are more entrenched pay higher dividends to avoid shareholder sanctions and the threat of takeover.
相似文献
Zhilan FengEmail: |
9.
Joseph T. L. Ooi Jingliang Wang James R. Webb 《The Journal of Real Estate Finance and Economics》2009,38(4):420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known
as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining
the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found
between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing.
The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and
book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust
in the presence of idiosyncratic risk.
相似文献
James R. WebbEmail: |
10.
Szu-Yin Kathy Hung John L. Glascock 《The Journal of Real Estate Finance and Economics》2008,37(1):51-69
This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum
phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that
momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than
those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price
ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price
ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly
explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can
be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.
相似文献
John L. GlascockEmail: |
11.
Gilles Hilary 《Review of Accounting Studies》2006,11(4):525-548
Prior results from the labor relations literature suggest that revealing information weakens management’s position in collective bargaining. Thus, when facing organized labor, management has an incentive to preserve the information asymmetry with outsiders. This study uses a sample from a large cross-section of the economy over several years to test this relation. Results are consistent with this prediction. Strong organized labor is associated with higher bid-ask spreads, higher probability of informed trading, lower trading volume and lower analyst coverage. These relations hold after controlling for numerous factors such as growth opportunities or risk.
相似文献
Gilles HilaryEmail: |
12.
James B. Kau Donald C. Keenan Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2009,39(2):107-117
This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit
in commercial mortgage backed security prices. Empirical studies of CMBS default have focused on the probability of default
depending on loan characteristics at the origination and market indices. Recent studies show that unobservable current loan-to-value
(LTV) ratio is a key state variable driving default. We update this variable using Real Estate Investment Trust (REIT) property-type
indices over time. Later, we employ first passage time approach to study CMBS default using implied LTV.
相似文献
Yildiray Yildirim (Corresponding author)Email: |
13.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
14.
An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts 总被引:2,自引:2,他引:0
Nicholas Dopuch Chandra Seethamraju Weihong Xu 《Review of Quantitative Finance and Accounting》2008,31(2):147-166
Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar
results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts,
and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings
are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent
with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable
(i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.
相似文献
Weihong Xu (Corresponding author)Email: |
15.
We examine stock sales as a managerial incentive to help explain the discontinuity around the analyst forecast benchmark. We find that the likelihood of just meeting versus just missing the analyst forecast is strongly associated with subsequent managerial stock sales. Moreover, we provide evidence that managers manage earnings prior to just meeting the threshold and selling their shares. Finally, the relation between just meeting and subsequently selling shares does not hold for non-manager insiders, who arguably cannot affect the earnings outcome, and is weaker in the presence of an independent board, suggesting that good corporate governance mitigates this strategic behavior.
相似文献
Vicki Wei TangEmail: |
16.
Jonathan A. Wiley Leonard V. Zumpano 《The Journal of Real Estate Finance and Economics》2009,39(2):180-201
Many studies have hypothesized that the turn-of-the-month effect is caused by institutional investment. However, there is
little evidence to support this hypothesis. This study provides an empirical test that measures the impact of the level of
institutional investment on the turn-of-the-month effect using a sample of REITs over the period 1980 to 2004. We find that
a significant change in the turn-of-the-month effect occurred following the Omnibus Reconciliation Act of 1993 which relaxed
the requirements on the level of institutional investment in REITs. The evidence suggests that the dramatic rise in institutional
holdings can account for a good part of this change. However, the impact of institutional investment may not be as large as
some researchers have suspected. There is no evidence to suggest that institutional investment impacts returns on the day
when the turn-of-the-month effect is most pronounced, suggesting that this calendar anomaly is not caused exclusively by institutional
investors in the market.
相似文献
Jonathan A. WileyEmail: |
17.
Marcel Naujoks Kevin Aretz Alexander G. Kerl Andreas Walter 《Financial Markets and Portfolio Management》2009,23(1):3-29
We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids
well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks
to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts
anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their
private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics,
including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition
among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.
相似文献
Andreas Walter (Corresponding author)Email: |
18.
Disclosure and the cost of equity in international cross-listing 总被引:1,自引:1,他引:0
Tim V. Eaton John R. Nofsinger Daniel G. Weaver 《Review of Quantitative Finance and Accounting》2007,29(1):1-24
In this paper, we examine the relationship between disclosure level and the cost of equity capital for a sample of international
firms cross-listing on the New York Stock Exchange. Increased disclosure has the potential to reduce information asymmetry,
reduce the cost of financing and increase analyst following. Using an international asset pricing model, we find that listing
firms experience a decrease in both disclosure risk and systematic risk while matching firms do not. Further, we find that
the magnitude of the decrease is related to three types of disclosure: accounting standards; analyst following; and exchange/regulatory
investor protection. Our results suggest that increased disclosure through accounting standards is beneficial to investors
and that disclosure can be accomplished through information intermediaries, e.g., analyst following. For firms with the lowest
levels of disclosure prior to cross-listing, all three types of disclosure appear to be valuable.
相似文献
Daniel G. WeaverEmail: |
19.
Don Bredin Gerard O’Reilly Simon Stevenson 《The Journal of Real Estate Finance and Economics》2007,35(3):315-331
We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s).
Although a number of studies have investigated the issue of interest rate changes, the effect of unanticipated changes has
not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The results show a strong
response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact
of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets.
However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric
responses to the monetary policy shock.
相似文献
Simon Stevenson (Corresponding author)Email: |
20.
Stephen P. Baginski John M. Hassell Michael D. Kimbrough 《Review of Quantitative Finance and Accounting》2008,31(3):311-330
The 1990s were characterized by substantial increases in the performance of and investor reliance on financial analysts. Because
managers possess superior private information and issue forecasts to align investors’ expectations with their own, we predict
that managers increased the quality of their earnings forecasts during the 1990s in order to keep pace with the improved forward-looking
information provided by financial analysts, upon which investors increasingly relied. Using a sample of 2,437 management earnings
forecasts, we document an increase in management earnings forecast precision, management earnings forecast accuracy, and managers’
tendency to explain earnings forecasts in 1993–1996 relative to 1983–1986. Given that these forecast characteristics are linked
to greater informativeness and credibility, we also document that the information content of management earnings forecasts,
as measured by the strength of share price responses to forecast news, increased in 1993–1996 relative to 1983–1986. As expected,
the increased information content of management forecasts primarily occurred for firms covered by financial analysts.
相似文献
Michael D. KimbroughEmail: |