共查询到20条相似文献,搜索用时 15 毫秒
1.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
2.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
3.
Martin Hoesli Colin Lizieri Bryan MacGregor 《The Journal of Real Estate Finance and Economics》2008,36(2):183-206
Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing
to offer a perverse hedge. This has been attributed to the impact of real and monetary shocks to the economy, which influence
both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results
have been mixed. This paper explores the relationship between commercial real estate returns and economic, fiscal and monetary
factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalization stock returns
is carried out with inflation divided into expected and unexpected components. The analyses are undertaken using an error
correction approach. In the long run, once real and monetary variables are included, asset returns are positively linked to
anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real
estate returns, particularly private market returns, exhibit characteristics that differ from those of stocks.
相似文献
Bryan MacGregorEmail: |
4.
We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test
several real option implications for real estate construction that have not been examined in the commercial real estate investment
literature. In particular and in line with the predictions of real option models, we show that the effects of real interest
rate and the expected demand growth on hurdle rent become more negative when the market volatility is greater. Second, we
use a cointegrating vector of office employment and office stock to provide a better control of the demand for new construction
than traditional indicators based on real estate prices and vacancy rates. Third, whereas the existing studies focus on the
U.S. commercial real estate markets, we study two major office markets in Asia, namely Singapore and Hong Kong. We rely on
the local stock market in the two city states to derive forward-looking measures of office demand growth expectations.
相似文献
Maarten Jennen (Corresponding author)Email: |
5.
By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between
stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share
market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant
relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and
firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model.
Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either
the world stock markets or the Hong Kong stock market over the period 1995–2002.
相似文献
Yuenan WangEmail: |
6.
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: |
7.
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics
across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific
benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well
as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights
defined by industry sectors, assets, and geographical regions is important to the assessment of fund management. For each
set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.
相似文献
Mitch Warachka (Corresponding author)Email: |
8.
Shinhua Liu 《Journal of Financial Services Research》2007,32(3):161-176
This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding
the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in
estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks
dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We
also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis
that a reduction in transaction costs improves the efficiency of the price discovery process.
相似文献
Shinhua LiuEmail: |
9.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
10.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
11.
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: |
12.
We investigate 95 takeovers of property companies all over the world and find that only two of those are hostile. To determine
the effectiveness of the market for corporate control, we first study characteristics of targets and acquirers compared to
a control sample, using the complete global universe of listed property companies during the most recent takeover wave (1999–2004).
We find that the inefficient management hypothesis holds for both REITs and non-REITs, as targets exhibit significant underperformance
before takeovers. In the second part of this study, we investigate shareholder wealth effects following takeovers and confirm
previous findings that abnormal returns for targets and bidders are distinctly different for the real estate sector. Moreover,
we show that this difference not only holds for REIT-to-REIT mergers, but also for mergers of real estate firms without a
REIT-status.
相似文献
Piet M. A. EichholtzEmail: |
13.
This paper looks at the reaction by industry insiders, industry analysts and competing firms, to the announcement of M&As
that took place in the European Union financial industry in the period 1998–2006. Analysts covering firms involved in an M&A
transaction do not significantly alter their recommendation. This is consistent with the hypothesis that the transaction on
average is “fairly priced” and that stock market prices reflect all relevant information on the assets. We also find that
the correlation between excess returns for merging and competing firms is positive and, in some cases, significantly higher
for domestic mergers than for international deals. This is consistent with the idea that domestic deals are more likely to
have a negative impact on industry competition.
相似文献
Ignacio HernandoEmail: |
14.
Jim Clayton David C. Ling Andy Naranjo 《The Journal of Real Estate Finance and Economics》2009,38(1):5-37
This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate
markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover,
the inability to short sell private real estate restricts the ability of sophisticated traders to enter the market and eliminate
mispricing. These characteristics would seem to render private real estate markets highly susceptible to sentiment-induced
mispricing. Using error correction models to carefully model potential lags in the adjustment process, this paper extends
previous work on cap rate dynamics by examining the extent to which fundamentals and investor sentiment help to explain the
time-series variation in national-level cap rates. We find evidence that investor sentiment impacts pricing, even after controlling
for changes in expected rental growth, equity risk premiums, T-bond yields, and lagged adjustments from long run equilibrium.
相似文献
Andy NaranjoEmail: |
15.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
16.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
17.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
18.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
19.
Dong Wook Lee 《Journal of Financial Services Research》2009,35(3):273-296
This paper examines the participation decisions of employees in a stock option exchange program aimed at restoring value to
underwater options. The program invites employees to exchange their existing underwater options for new options, the value
of which is determined by the company stock price in 6 months and 1 day. The participation turns out to vary cross-sectionally
and, perhaps surprisingly, the employees do not surrender all their underwater options. We find that employees actively and
rationally consider a variety of factors to make their participation decisions, rather than blindly surrendering their underwater
options. The participation decisions of non-executive employees seem to be well anticipated by stock market investors, since
no abnormal stock returns are related to the participation decisions.
相似文献
Dong Wook LeeEmail: |
20.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |