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1.
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: |
2.
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: |
3.
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: |
4.
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: |
5.
Evidence of feedback trading with Markov switching regimes 总被引:1,自引:1,他引:0
Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the
volatility of the series, and that feedback traders are at least partly responsible for this phenomenon. Using daily Australian
bond and equity market returns, we test this conclusion directly by using a Markov switching model for changing variance that
explicitly allows the autocorrelation of returns to vary with the volatility regime. We find evidence that a significant proportion
of investors in both the Australian equity and bond markets are positive feedback traders and are responsible for the observed
increase in negative autocorrelation in index returns during periods of high and increasing volatility.
相似文献
Robert W. FaffEmail: |
6.
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: |
7.
Jie Zhu 《Financial Markets and Portfolio Management》2009,23(3):243-269
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics
of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively.
The model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on returns are tested. The empirical results
show that the persistent component is much more important for the volatility dynamic process than is the volatile component.
However, the volatile component is found to be a significant pricing factor of asset returns for most markets. A positive
or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly
priced for the return dynamic process.
相似文献
Jie ZhuEmail: |
8.
Henryk Gurgul Paweł Majdosz Roland Mestel 《Financial Markets and Portfolio Management》2007,21(3):353-379
This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of
DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December
2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume
in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition,
we establish that lagged return volatility induces trading volume movements. Finally, we examine dependencies in the tails
and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading
volume.
相似文献
Roland Mestel (Corresponding author)Email: |
9.
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: |
10.
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: |
11.
In Joon Kim In-Seok Baek Jaesun Noh Sol Kim 《Review of Quantitative Finance and Accounting》2007,29(1):69-110
This paper investigates the role of stochastic volatility and return jumps in reproducing the volatility dynamics and the
shape characteristics of the Korean Composite Stock Price Index (KOSPI) 200 returns distribution. Using efficient method of
moments and reprojection analysis, we find that stochastic volatility models, both with and without return jumps, capture
return dynamics surprisingly well. The stochastic volatility model without return jumps, however, cannot fully reproduce the
conditional kurtosis implied by the data. Return jumps successfully complement this gap. We also find that return jumps are
essential in capturing the volatility smirk effects observed in short-term options.
相似文献
Sol KimEmail: |
12.
N. K. Chidambaran 《Review of Quantitative Finance and Accounting》2007,28(1):101-122
Discretely rebalanced options arbitrage strategies in the presence of transaction costs have path dependent returns that are
difficult to model analytically. I instead use a quasi-analytic procedure that combines the computational efficiency of analytical
solutions with the flexibility of simulations. The central feature is the estimation of the distribution of returns of the
arbitrage strategy by mapping simulated returns percentiles and the input parameter set. Using the estimated density, I evaluate
the tradeoff between transaction costs and risk exposure under generalized transaction costs structures that includes bid-ask
spread and brokerage commission. I show that the optimal strategy depends on transaction costs, volatility, and option moneyness.
Strategies such as rebalancing when the hedge ratio changes by 0.25, balances transaction costs and risk exposure, and can
be optimal.
相似文献
N. K. ChidambaranEmail: |
13.
Ernst Konrad 《Financial Markets and Portfolio Management》2009,23(2):111-135
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German
stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in
the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These findings are
robust for other Euro zone stock markets, but not significant for other Euro zone bond markets. The empirical evidence also
suggests that monetary policy surprises have larger effects on German stock return volatility in bear markets than in bull
phases. Moreover, our results support the claim that stock return volatility can be negatively correlated with stock returns,
contradicting predictions made by many asset pricing models (e.g., CAPM or ICAPM) and the empirical finding of an insignificant
relationship often reported in the literature.
相似文献
Ernst KonradEmail: |
14.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
15.
Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange 总被引:3,自引:0,他引:3
After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that
the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday
returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session
having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the
high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the
market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks
after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility
observed at the market open.
相似文献
Gary Gang TianEmail: |
16.
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: |
17.
Analyst Activity and Firm Value: Evidence from the REIT Sector 总被引:2,自引:0,他引:2
Erik Devos Seow Eng Ong Andrew C. Spieler 《The Journal of Real Estate Finance and Economics》2007,35(3):333-356
This paper is the first to examine (1) properties of analyst forecasts and (2) effects of analyst following on firm value
for all REITs on CRSP, Compustat and I/B/E/S. Our results suggest that REITs operate in an information environment that has
changed over time. We find that for periods when the REIT industry was either in the developmental stage (pre-1992), or after
other structural changes in the industry (post-2000), more analysts cover REITs and forecasts are more accurate and less biased.
Further, we find that mortgage REITs are more transparent than other REIT structures and exhibit properties of analyst behavior
that are different from other types of REITs. Our investigation into the effect of analyst coverage on REIT value suggests
that analyst coverage increases REIT value (as measured by Tobin’s q) and that the causality does not run the opposite way.
相似文献
Andrew C. SpielerEmail: |
18.
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: |
19.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |
20.
Christian Andres André Betzer Charlie Weir 《Financial Markets and Portfolio Management》2007,21(4):403-424
We examine shareholder wealth effects in a heterogeneous sample of 115 European leveraged going private transactions from
1997 to 2005. Average abnormal returns as reaction to the LBO announcement amount to 24.20%. In cross-sectional regressions,
we find that these value gains can largely be attributed to differences in corporate governance: on a macro level, abnormal
returns for pre-LBO shareholders are larger in countries with a poor protection of minority shareholders. On a firm level,
companies with a high pre-LBO free float and comparatively weak monitoring by shareholders tend to show high abnormal returns.
Furthermore, companies that are undervalued with respect to an industry peer-group exhibit higher announcement returns, indicating
that agency conflicts and/or market inefficiencies can serve as an explanation.
相似文献
Charlie WeirEmail: |