Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

基于买卖价差的我国股票市场流动性调整的风险价值研究

由于我国股票市场是一个典型的订单驱动型市场,存在报价深度不充分的问题,传统的买卖价差不能真正反映流动性风险,针对这一情形,文章以个股日最高价与最低价之间的价差为度量指标,结合经流动性调整的风险价值模型（BDSS）,考察了沪市25个行业的25只样本股票面临的流动性风险值。实证表明,我国股市存在较大的流动性风险,个股之间的流动性层次区分度不高,呈现出较大的趋同性,流通股本数与流动性风险值呈显著的负相关,而流通市值与流动性风险值呈显著的正相关关系。     

There is no place like home: Information asymmetries,local asset concentration,and portfolio returns

Using a unique setting with significant cross‐market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance. We further document a significant positive relation between local asset concentration and portfolio returns in markets where information asymmetry is most severe. Two novel identification strategies that exploit a local lender's ability to price the local investor's information advantage and exogenous variation in sales price disclosure laws across states confirm an information‐based effect that is distinct from risk‐based or behavioral explanations.     

Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets

We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior, asymmetric volatility spillover effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis when synchronously priced data are utilized. These results are different from when close-to-close returns are examined, implying that the use of close-to-close data can misconstrue the true dynamics that exist between these markets. Results also show significant asymmetric effects on both the volatility and correlation dynamics between the markets. This has several implications for property portfolio managers, indicating that positive and negative news impact the markets differently. This is particularly true for the United Kindom, where daily foreign news from the United States can influence U.K. volatility.     

The Role of the Underlying Real Asset Market in REIT IPOs

A leading explanation for IPO cycles is time-varying supply and demand for the underlying assets of the firms that are considering going public. We test this hypothesis using REIT IPOs, taking advantage of the relative transparency of the underlying real asset markets. We document links between REIT IPO activity and both the conditions of the underlying real estate market and the price of REITs. We find no significant relation between the heat of the IPO market and post-IPO operating performance, implying homogeneous firm quality across IPO cycles. Finally, we show that lagged IPO proceeds are related to future increases in investment and in capacity utilization.     

Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market

This article represents the first exploration of liquidity and order flow spillovers across New York Stock Exchange stocks and real estate investment trusts (REITs). Impulse response functions and Granger causality tests indicate the existence of persistent liquidity spillovers running from REITs to non-REITs. Specifically, REIT liquidity indicators are forecastable from non-REIT ones, at both daily and monthly horizons. I also provide evidence of a liquidity premium inherent in REIT returns. While REIT prices appear to be set efficiently in that neither REIT nor non-REIT order flows forecast REIT returns, I find that order flows and returns in the stock market negatively forecast REIT order flows. This result is consistent with the notion that real estate markets are viewed as substitute investments for the stock market, which causes down-moves in the stock market to increase money flows to the REIT market.     

Real Estate Investment Trusts, Small Stocks and Bid-ask Spreads

This study examines the liquidity of Real Estate Investment Trusts (REITs), as measured by their bid-ask spread. We find that REIT spreads have increased over the period 1986–1990, are inversely related to market capitalization, and are similar in magnitude to spreads on other stocks of comparable size. Analysis of variance tests indicate that REIT spreads are similar across equity, mortgage and hybrid asset types. Multivariate regression results indicate that market capitalization is the primary determinant of REIT bid-ask spreads, and spreads are larger for National Association of Securities Dealers Automated Quotations (NASDAQ) REITs than for New York Stock Exchange (NYSE) REITs. The regression results also indicate that spreads are lower for equity REITs than for mortgage or hybrid REITs, and are inversely related to the fraction of the REIT's shares held by institutional investors. The similarity between REIT spreads and those of other common stocks holds in both bull and bear real estate markets and suggests that, from a liquidity perspective, REITs are similar to other common stocks.     

Incumbency and market share within European mobile telecommunication networks

The structure of mobile telecommunication markets varies considerably across Europe, ranging from monopolies with a handful of subscribers to markets with five operators and many millions of subscribers. Where competitive markets occur, there is also an incumbent operator possessing substantial first mover advantages. This paper explores these advantages, asking whether the incumbent has remained the largest operator as the market has developed. This question is investigated using data from 49 European countries. The analysis finds that in most countries the incumbent continues to be the largest operator measured by market share. In some countries, later entrants into the market have struggled to gain market share, contributing to the highly concentrated nature of many mobile markets. The extent to which the geographical footprint of an operator influences its market share is also examined.     

National Vacancy Rates and the Persistence of Shocks in U.S. Office Markets

In this paper, we develop and estimate a model that decomposes the variance in office vacancy rates into market-specific, time-specific, and random components. The results indicate significant differences in natural vacancy rates across markets. We also find some persistence in deviations from these natural vacancy rates. The analysis is applied to both central business district (CBD) and suburban office markets. We find that natural vacancy rates differ across CBD markets and across suburban markets. Further, the persistence of disequilibrium in one CBD market seems to differ significantly from that in another. This is not shown to be true for suburban markets.     

Price Discovery in American and British Property Markets

This paper examines the securitized (public) and unsecuritized (private) commercial property markets in the United States and the United Kingdom for evidence of price discovery. Appraisal-based returns are corrected for smoothing, without presupposing the true returns to be uncorrelated or unpredictable across time. Real Estate Investment Trusts (REITs) and property company returns are corrected for leverage. We find evidence that price discovery occurs in the securitized market structure in both countries, and that this price information does not fully transmit to the unsecuritized markets for a year or more. In Britain, the unsecuritized market appears to be more closely and immediately linked to the securitized market than is the case in the U.S.     

The Impact of the Entry of Biosimilars: Evidence from Europe

Biologics represent a substantial and growing share of the U.S. drug market. Traditional “small molecule” generics quickly erode the price and share of the branded product upon entry, however only a few biosimilars have been approved in the US since 2015, thereby largely preserving biologics from competition. We analyze European markets, which have had biosimilar competition since 2006. Using our own survey, we analyze how market features and public policies predict biosimilar entry, price, and penetration, finding significant heterogeneity across countries and products. Effective buyer institutions are associated with increased biosimilar penetration. Our estimates can inform ongoing policy discussions.     

Why Do Vacant Houses Sell for Less: Holding Costs,Bargaining Power or Stigma?

This article introduces Nash bargaining into a search model to identify various channels through which vacancy affects selling price and liquidity in the resale market for houses. The model shows the various vacancy effects in the form of greater seller holding cost, lower seller bargaining power and unobserved negative attributes or stigma. We use a 20‐year data series on house transactions to test for these effects in a simultaneous model of price and liquidity, using the long data series to allow for variation across market phases. The robust vacancy effects on price and liquidity across all market phases primarily reflect greater seller holding cost and diminished bargaining power. Repeatedly, vacant houses also exhibit significant stigma effects in the rising market but not in stable or declining market phases. At the same time, vacant houses enjoy stronger shopping externality effects from surrounding houses for sale than do their occupied counterparts.     

Managing customer share in key supplier relationships

Supply base consolidation is an important issue in many business markets. Against this background, the allocation of purchasing budgets across vendors becomes an area of vital interest to suppliers. In the present research, we argue that customer share is a key decision variable in business marketing settings and investigate how a supplier can proactively manage the share of its customer's business. We report the results of a cross-sectional study among purchasing managers in U.S. manufacturing industries. Our findings confirm the role of customer value as an antecedent to customer share in business relationships. The study further shows that customer share influences the stability of key supplier relationships. Rather than displaying a direct impact, our results suggest that trust mediates and dependence moderates the link between customer share and search for alternative suppliers. Based on these findings, we propose a framework for managing customer share in key supplier relationships. Four approaches of how industrial vendors can proactively manage customer share are discussed.     

Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid–ask spreads and the relationship between spreads and risk, return and liquidity. Intraday data have been used to measure the effective spread, and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore, this article develops an aggregate daily data-based test for liquidity and applies the test to U.S. data in order to check for consistency with the results of prior intraday analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.     

DOMESTIC MARKETS AND INTERNATIONAL COMPETITIVENESS: GENERIC AND PRODUCT-SPECIFIC COMPETENCIES IN THE ENGINEERING SECTOR

This paper develops a theory of how the size of the domestic market shapes firm competencies. Our theory implies that large markets are beneficial even if factors such as economies of scale or learning effects are absent. We validate our model by an international comparison of the performance of firms that provide engineering services to the oil and petrochemical industry. We conclude that, relative to the United States, the competitiveness of European or Japanese industries is greater in activities whose underlying competencies are not product specific and can be utilized across a variety of products. The benefits of large markets are greatest for activities based on product-specific competencies. © 1997 by John Wiley & Sons, Ltd.     

Evaluating the Costs of Increased Lending in Low and Negative Growth Local Housing Markets

The literatures on default and the evaluation of low downpayment mortgage programs are extended by showing within an options pricing framework how differences in expected price appreciation trends across housing markets can influence default and, thereby, the cost of programs designed to increase mortgage liquidity. An equilibrium mortgage rate reflecting the risk premium required to compensate for expected default-related losses is endogenously determined within the model. Evaluating the entire process by which program losses arise strictly within a rigorous asset pricing framework has potentially important implications for policy evaluation, as the estimated present value of program losses in declining markets where expected default is high is quite sensitive to the choice of the discount rate. The implications of increased lending in low and negative price appreciation local markets are also investigated.     

Gentrification Trends in New Transit-Oriented Communities: Evidence from 14 Cities That Expanded and Built Rail Transit Systems

Over 25 billion dollars were spent between 1970 and 2000 in 14 major cities in the United States on the construction of new rail transit lines. This massive investment in rail transit construction and expansion allows me to study the consequences of local public goods improvements for communities nearby new stations. This article uses a 14-city census tract–level panel data set covering the years 1970 to 2000 to document significant heterogeneity in the effects of rail transit expansions across the 14 cities. Communities receiving increased access to new "Walk and Ride" stations experience greater gentrification than communities that are now close to new "Park and Ride" stations.     

Contigent Price Contracts and the Efficiency of Housing Markets

Frequently, the response of housing markets to a large negative demand shock is a period during which the liquidity of housing declines, but the price at which transactions take place changes little. In this paper we show that a decline in liquidity can result from the inabilities of sellers and buyers to insure against post-shock price uncertainty. We conclude, that the introduction of a risk-sharing contingent price contract may increase the post-shock liquidity of housing by providing insurance against post-shock price uncertainty. Finally, we show that a mutually agreeable contingent price contract will always exist, even when sellers are excessively optimistic.     

场外市场与私募股权投资退出

场外市场是沪深证券交易市场的有益补充,是建立多层次资本市场体系中的重要一极,由于其相对较低的进入门槛．在中小企业直接融资体系及企业资产要素流动中扮演着极为重要的角色,而私募股权投资基金则是场外市场的重要交易主体。文章着重论述了私募股权投资退出与场外市场是相互促进、相辅相成的关系,规范统一有序的场外市场为私募投资退出提供了广阔舞台,私募投资退出的顺畅又为场外市场注入了流动性活力。因此．当前形势下加强场外市场建设对于私募股权投资退出具有重要的现实意义。     

Concentration and Market Structure in Local Real Estate Markets

The competitiveness of the residential real estate brokerage industry has attracted much attention. Anecdotal evidence suggests some local markets are concentrated, yet no systematic market structure study has been conducted. We collected cross‐sectional data on real estate brokers in 90 diverse markets across the United States and collected longitudinal data for Louisville, Kentucky. In medium and large markets, no evidence exists that market concentration might create problems for competition. Small markets, on average, have higher Herfindahl‐Hirschman Indexes than medium and large markets. The longitudinal data reveal that many small brokers sell a house or two one year and none the next year.