REIT Capital Structure Choices: Preparation Matters

Sun, Titman and Twite find that capital structure risks, namely, high leverage and a high share of short‐term debt, reduced the cumulative total return of U.S. REITs in the 2007–2009 financial crisis. We find that mitigating capital structure risks ahead of the crisis by reducing leverage and extending debt maturity in 2006 was associated with a significantly higher cumulative total return 2007–2009, after controlling for the levels of those variables at the start of the financial crisis. We further identify two systematic cross‐sectional differences between those REITs that reduced capital structure risks prior to the financial crisis and those that did not: the exposure to capital structure risks and the strength of corporate governance. On balance, our findings are consistent with the interpretation of risk‐reducing adjustments to capital structure ahead of the crisis as a component of managerial skill and discipline with significant implications for firm value during the crisis.     

REIT Capital Budgeting and Equity Marginal q

Equity marginal  q  is the change in the market value of a company's equity in response to a one-unit unexpected change in its asset base. Hence, it is a profitability index that evaluates a firm's capital budgeting decisions at the margin. We estimate the equity marginal  q  for real estate–managing public corporations, namely, real estate investment trusts (REITs), in an attempt to understand how the various costs and benefits of being a public corporation play a role in managing this important asset class. Using the universe of equity REITs for the period from 1993 to 2005, we find that REITs with greater idiosyncratic volatility, higher stock turnover and smaller bid-ask spread have a higher equity marginal  q . In addition, both the holdings of institutional investors and their investment horizons are respectively positively related to equity marginal  q.  With these firm characteristics taken into account, firm size is found to be negatively related to equity marginal  q . Our findings are economically important as well, because the equity marginal  q  ratio alone accounts for approximately one-third of the total REIT shareholder wealth change during the study period.     

The Dynamics of REIT Capital Flows and Returns

This study examines the effects of capital flows into the REIT sector on REIT returns and, simultaneously, the effects of REIT returns on subsequent REIT capital flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions and forecast variance decompositions. We find evidence that REIT equity flows are significantly positively related to the prior quarter's flows and negatively related to flows from two quarters ago. The evidence on the responsiveness of flows to prior returns is time-period specific. In the important post-1992 subperiod, REIT returns do not significantly affect REIT flows in any of the VAR model specifications. Simultaneously, REIT capital flows do appear to have a significant influence on equity REIT returns.     

Explaining the Variation in REIT Capital Structure: The Role of Asset Liquidation Value

We test the Shleifer-Vishny hypothesis that asset liquidation values influence both firm leverage and the choice of debt maturity. Using panel data on real estate investment trusts, we estimate a simultaneous equation model and find that firms specializing in the most (least) liquid assets use more (less) leverage and longer (shorter) maturities. The evidence also suggests that, for REITs, debt maturity and leverage are substitutes, consistent with the theory and predictions of Barclay, Marx and Smith.     

REIT Dividend Determinants: Excess Dividends and Capital Markets

The determinants of excess dividend payments above mandatory requirements in real estate investment trusts (REITs) are evaluated. Payment of excess dividends is related to factors associated with reduced agency costs, strong operating performance, the implementation of a stock repurchase plan and an ability to access short-term bank debt. Recognizing that access to external capital is essential for long-term growth, REITs manage dividend policy to allow for capital acquisition in the form of both equity and debt. The acquisition and use of short-term bank debt provides REIT management flexibility in determining dividend policy.     

Structure and Profitability in Banking Markets

We use the structure-performance model and regression analysis to investigate a number of analytical issues that often arise in evaluating competition in connection with bank mergers and that are generally relevant to mergers in other industries. Perhaps our most consistent and strongest finding is that the local market HHI is positively and significantly related to profitability. We also find that the number of organizations and the level of recent deposit growth may provide some additional information on the level of competition. Finally, several variables including market size, the number of large banking firms, deposits per office, and resident migration rates exhibit similar relationships to profitability in the bivariate analysis, suggesting that there may be some characteristic associated with market size, density, or attractiveness that is important for competition.     

企业智力资本与企业资本结构优化

在新经济环境下，如何有效地利用和管理智力资本已成为创造企业竞争优势的重要手段之一。本文试图从智力资本的构成及其综合财务度量指标入手，建立在权衡智力资产创造企业价值的激励制度下的资本结构优化分析模型，通过这个模型的分析和简要案例的剖析得到结论：应用智力资产贡献率和贡献增长率指标在一定程度上可以度量智力资本的贡献；适宜的智力资产贡献激励能够促使代理人优化资本结构；在考虑智力资产贡献激励情况下，企业代理人会寻找更有效的手段（如资产负债综合重组优化）来优化企业资本结构。     

银行体制市场化、营运资本与企业绩效

在一个自然实验的框架下,本文考察了银行体制市场化以后,企业营运资本使用变化对企业绩效的影响。本文发现,银行体制市场化使得银行部门信贷资源配置具有市场化特征,对所有企业的外源融资都进行约束。受到外源融资约束的企业会更多使用企业的内部资金进行经营和生产活动,一方面,企业会更多使用营运资本提高企业的生产和财务绩效,而另一方面,企业会减少营运资本来维持生产规模的扩张。这些结果表明,银行体制市场化能够有效提高企业内部资金使用效率,在当前工业部门普遍面临融资难的困境下,对进一步探讨银行体制改革和提高企业绩效有重要意义。     

REIT Advisor Performance

In this article, we examine whether the performance of real estate investment trusts (REITs) is correlated with advisor type. Seven categories of advisors are used in the analysis. All categories exhibit zero or negative performance measures and the average abnormal returns across advisor types are significantly different from each other. We conclude that advisor type is an important determinant of the returns realized by a REIT's shareholders. Additional analysis suggests that firm size and property location may partially explain REIT performance.     

Option Trading and REIT Returns

This article examines the relation between option trading volume and real estate investment trust (REIT) market performance. Specifically, we find that option volume increases are followed by decreases in returns. Furthermore, the portion of option volume that is orthogonal to REIT characteristics drives the observed return predictability relation, thereby suggesting that the return predictability of option trading is (at least partially) attributable to information‐based explanations. Finally, consistent with informed traders favoring option market activities due to short‐sale costs and/or constraints, we find option based return predictability is more evident within REITs than non‐REITs, even though firms within this industry are generally viewed as informationally transparent.     

Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly

It is well documented that REITs in the 1990s experienced significant changes in their structure and attracted greater institutional participation. This article finds that REIT stocks with higher institutional holdings perform better on Monday than REITs with lower institutional holdings during the 1990s, but not in the 1980s. Furthermore, REITs that went public in the 1990s are the ones associated with the shift in the Monday return pattern. Our study supports the claim that the change in REIT structure and the increase in institutional participation in the REIT market in the 1990s make REIT stocks behave more like other equities in the stock market.     

外资影响我国银行业的理论与现实分析

近年来,我国逐步放开对外资银行的限制,加之我国正在对国有商业银行进行股份制改革,外资进入对我国银行业的影响关系到国家的经济安全。系统总结关于外资银行进入对东道国银行业的效率和稳定方面的理论分析,考察外资对中国银行业的效率与稳定的现实影响,有利于我国银行业的长远发展。     

REIT Stock Market Volatility and Expected Returns

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007–2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT‐implied volatility is negatively related to contemporaneous stock returns; there is a significant positive relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT implied volatility and future stock returns. Lastly, we develop trading rules based on REIT implied volatility to test whether these relationships are exploitable. The result suggests a potentially profitable trading strategy.     

我国商业银行市场结构现状分析及其优化研究

本文基于我国13家商业银行2000-2006年的面板数据。对我国商业银行业市场结构、绩效等情况进行实证分析。得出我国商业银行业市场集中度趋于下降.我国银行的垄断状态逐渐被打破。在商业银行市场结构与银行绩效的回归结果上表现为:伴随着市场集中度下降,各商业银行绩效得到提高;商业银行资产规模对其绩效带来负的影响;银行管理水平、创利能力对其绩效产生显著的正向影响;产品差异化与银行绩效则显示弱的正向关系。本文认为完善银行业微观基础、降低政策性市场壁垒、提高银行差异化产品的服务能力、拓展银行国际业务等是我国银行市场结构优化的方向。     

Uncertainty premia in REIT returns

We provide a systematic study of how financial and real estate uncertainty affect the aggregate return performance of the U.S. REIT market from 1994 to 2017. A temporal causality analysis reveals a negative uncertainty impact on REIT returns. The asset pricing analysis confirms the predictive relation and suggests that REITs are statistically significantly exposed to changes in market-wide uncertainty, for which investors require a return compensation. We also identify economic state variables to explain time-varying uncertainty exposures as well as periodic hedging characteristics of REITs. Finally, we find evidence that the source of uncertainty matters for compensating expected REIT returns.     

Institutional Investors' Preferences for REIT Stocks

This article investigates the determinants of real estate investment trusts (REIT) portfolio investment and institutional REIT ownership using multivariate Tobit regressions. We contend that many institutional investors take larger positions in more liquid assets like REIT stocks, as compared with private real estate equities, because of liquidity considerations. Consistent with this contention, we find that liquidity constraints are significantly related to REIT portfolio investment by institutional investors. We also find that institutional investors have different preferences for REIT stocks than do other investors; they generally prefer larger, more liquid REIT stocks.     

REIT Auditor Fees and Financial Market Transparency

This article examines the relationship between overinvestment in audit services, abnormal nonaudit fees paid to the auditor and market-based measures of firm transparency. Because real estate investment trusts (REITs) must distribute 90% of their earnings as dividends, many are repeat participants in the seasoned equity market. Thus, REITs have unusually strong incentives to strive for security market transparency. We find that the capital markets reward REITs that overinvest in audit services with better liquidity as measured by bid-ask spreads. However, firms with abnormally high nonaudit expenditures appear to be penalized with wider spreads, consistent with the notion that such fees may compromise auditor independence.     

资本结构与财务质量相关性研究

本文以沪深交易所的纺织行业上市公司为对象,采用截面数据研究资本结构与财务质量之间的关系。研究结果表明:纺织行业上市公司资本结构与财务质量相关性显著,资本结构中的短期偿债能力与财务质量呈正相关,长期偿债能力与财务质量呈负相关,同时提出针对纺织行业上市公司优化资本结构以提高财务质量的合理建议。     

隐性契约、专用性投资与资本结构

隐性契约以商品所有权分割为存在前提。专用性投资是企业传递履约动机与履约能力信息的重要通道，受资产专用性与隐性负债导致较高债务融资成本的双重约束，专用性投资应主要依靠权益融资。实证研究表明，专用性投资强度与资本结构呈负相关，隐性契约对资本结构产生影响。本文研究结论为企业融资政策选择提供了新依据。     

Capital Structure Theory: Evidence from European Property Companies' Capital Offerings

This study examines the stock price reactions on announcements of both equity and debt offerings by European property companies. The unique setting in which corporate tax rates vary between different countries enables us to test established theories in the field of capital structure. In accordance with theory, we find a negative price reaction on equity offering announcements, which is less severe for low-tax countries and positive price reactions on the announcements of debt offerings. Besides tax arguments, we also test alternative explanations by analyzing variations in stock reactions based on differences in the relative size of the issue, the pre-offer leverage, the underlying property types, and operational performance. The results show that corporate taxation, issue size, and operational performance are significant explanatory factors in the negative price reactions.