共查询到20条相似文献,搜索用时 406 毫秒
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.
We empirically examine how governance structure affects the design of executive compensation contracts and in particular, the implicit weights of firm performance measures in CEO’s compensation. We find that compensation contracts in firms with higher takeover protection and where the CEO has more influence on governance decisions put more weight on accounting-based measures of performance (return on assets) compared to stock-based performance measures (market returns). In additional tests, we further find that CEO compensation in these firms has lower variance and a higher proportion of cash (versus stock-based) compensation. We further find that CEOs’ incentives (measured as changes in CEO annual wealth which includes expected changes in the value of the CEO’s equity holdings in addition to yearly compensation) do not vary across governance structures. These findings are consistent with CEOs in firms with high takeover protection and where they have more influence on governance negotiating different contracts.
相似文献
Fernando PenalvaEmail: Phone: +34-93-2534200 |
3.
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: |
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.
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: |
6.
Do firms understate stock option-based compensation expense disclosed under SFAS 123? 总被引:1,自引:0,他引:1
Focusing on the four key option pricing model inputs—expected option life, expected stock price volatility, expected dividend yield, and the risk-free interest rate for the expected life of the option—this study finds that firms understate option value estimates and, thus, stock-based compensation expense disclosed under SFAS 123. As predicted based on incentives and opportunities for management to understate SFAS 123 expense, the understatement of option value estimates is increasing in proxies for the magnitude of the expense, is greater for firms with weaker corporate governance, and, to a lesser extent, is increasing in the excessiveness of executive pay. The findings are strongest for the expected option life and expected stock price volatility input assumptions, consistent with firms’ greater latitude in determining these inputs. We find weaker evidence of understatement associated with the expected dividend yield assumption, and none for the interest rate assumption, consistent with these inputs being less amenable to discretion. Taken together, our findings raise some concern that the exercise of management discretion adversely affects the overall reliability of SFAS 123 expense.
相似文献
Ron KasznikEmail: |
7.
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: |
8.
Jacqueline S. Hammersley Linda A. Myers Catherine Shakespeare 《Review of Accounting Studies》2008,13(1):141-165
We examine the stock price reaction to management’s disclosure of internal control weaknesses under §302 of the Sarbanes Oxley
Act and to the characteristics of these weaknesses, controlling for other material announcements in the event window. We find
that some characteristics of the weaknesses—their severity, management’s conclusion regarding the effectiveness of the controls,
their auditability, and the vagueness of the disclosures—are informative. We also find that the information content of internal
control weakness disclosures depends on the severity of the internal control weakness. Moreover, in a sub-sample uncontaminated
by other announcements in the event window, we find negative price reactions to the disclosure of internal control weaknesses
and material weaknesses.
相似文献
Catherine ShakespeareEmail: |
9.
Benjamas Jirasakuldech Robert D. Campbell Riza Emekter 《The Journal of Real Estate Finance and Economics》2009,38(2):137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using
monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs
1993–2006. Consistent with findings for conventional firms, we find that EREIT conditional volatility is time-varying, persistent,
and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks pre-1993, but
the relationship disappears after 1993. We find no evidence that negative shocks affect EREIT volatility differently from
positive ones in either time period. Different from reported results for conventional firms, we find that changes in the conditional
volatility of fundamental macroeconomic variables have strong explanatory value for future changes in EREIT volatility. Finally,
comparing EREIT volatility performance with volatility in the Russell 2000 Index, a proxy for small stocks, we find that EREIT
volatility behaves differently from that of small stocks in many respects, indicating that risks in the small stock index
cannot effectively proxy for risks in the EREIT market.
相似文献
Riza EmekterEmail: |
10.
While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many
difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make
momentum strategies less expensive with respect to transaction costs, we go a step further in the simplification of momentum
strategies. By restricting our sample to Switzerland’s largest blue-chip stocks and choosing only one winner and one loser
stock, we find average returns to our momentum arbitrage portfolios of up to 44% p.a. depending on the formation and holding
periods. While unconditional risk models are at odds with momentum profits, stock market predictability and time-varying expected
returns explain a large part of the momentum payoffs, including the post-holding period behavior of the winner and loser stocks
(overreaction and subsequent price correction).
相似文献
Markus M. SchmidEmail: |
11.
Rob Brown Howard W. H. Chan Yew Kee Ho 《Review of Quantitative Finance and Accounting》2009,33(2):91-111
The stock market may respond to the difference between an analyst’s recommendation and that analyst’s previous recommendation
and/or to the difference between the analyst’s recommendation and the consensus recommendation. We show that for the short-term
market response the former is the clearer signal when both are examined simultaneously. We also show that the market’s reaction
is strongly influenced by the analyst’s reputation, the divergence of opinion among analysts and the number of analysts following
the stock. Previous studies have been hampered by having a low proportion of negative recommendations. We overcome this deficiency
by studying the Australian market, in which institutional differences lead to analysts releasing many more negative recommendations.
相似文献
Yew Kee Ho (Corresponding author)Email: |
12.
This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds
that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals.
In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes
capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe
ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual
portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French
(J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth
regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also
confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed
among stocks.
相似文献
Bhaskaran SwaminathanEmail: |
13.
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: |
14.
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: |
15.
A re-evaluation of auditors’ opinions versus statistical models in bankruptcy prediction 总被引:3,自引:2,他引:1
Lili Sun 《Review of Quantitative Finance and Accounting》2007,28(1):55-78
Existent empirical evidence on the relative performance of auditors’ going concern opinions versus statistical models in predicting
bankruptcy is mixed. This study attempts to add new reliable evidence on this important issue by conducting the comparison
based upon an improved statistical model. The improved statistical model incorporates some new developments advocated by recent
bankruptcy prediction research (e.g., Shumway, 2001). First, the following non-traditional variables are added: a composite
measure of financial distress, industry failure rate, abnormal stock returns, and market capitalization. Secondly, a hazard
model is employed.
The prediction ability of the hazard model with incorporation of non-financial-ratio variables is superior to that of auditors’
going concern opinions in the holdout sample. This suggests that a well-developed statistical model could serve as a decision
aid for auditors to better make going-concern judgments. Further analyses reveal some evidence that industry failure rate
does not have a significant impact upon auditors’ going concern judgments as it should be; auditors could improve their going
concern judgments by considering industry-level information in addition to firm-specific information. Finally, we find that
auditors’ opinions do have incremental contribution beyond stock-market information and industry failure rate in predicting
bankruptcy.
相似文献
Lili SunEmail: |
16.
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: |
17.
This paper develops a theory of a firm’s hedging decision with endogenous leverage. In contrast to previous models in the
literature, our framework is based on less restrictive distributional assumptions and allows a closed-form analytical solution
to the joint optimization problem. Using anecdotal evidence of greater benefits of risk management for firms selling “credence
goods” or products that involve long-term relationships, we prove that those optimally leveraged firms, which face more convex
indirect bankruptcy cost functions, will choose higher hedge ratios. Moreover, we suggest a new approach to test this relationship
empirically.
相似文献
Lutz HahnensteinEmail: |
18.
Kin Wai Lee Baruch Lev Gillian Hian Heng Yeo 《Review of Quantitative Finance and Accounting》2008,30(3):315-338
Much of the research on management compensation focuses on the level and structure of executives’ pay. In this study, we examine
a compensation element that has not received so far considerable research attention—the dispersion of compensation across managers—and its impact on firm performance. We examine the implications of two theoretical models
dealing with pay dispersion—tournament versus equity fairness. Tournament theory stipulates that a large pay dispersion provides
strong incentives to highly qualified managers, leading to higher efforts and improved enterprise performance, while arguments
for equity fairness suggest that greater pay dispersion increases envy and dysfunctional behavior among team members, adversely
affecting performance. Consistent with tournament theory, we find that firm performance, measured by either Tobin’s Q or stock performance, is positively associated with the dispersion of management compensation. We also document that the
positive association between firm performance and pay dispersion is stronger in firms with high agency costs related to managerial
discretion. Furthermore, effective corporate governance, especially high board independence, strengthens the positive association
between firm performance and pay dispersion. Our findings thus add to the compensation literature a potentially important
dimension: managerial pay dispersion.
相似文献
Gillian Hian Heng Yeo (Corresponding author)Email: |
19.
John J. Maher Robert M. Brown Raman Kumar 《Review of Quantitative Finance and Accounting》2008,31(2):167-189
We examine the valuation effects of overall demand for corporate equities combined with the influence of abnormal earnings
and unexpected funds flow. Our results indicate that the expected and unexpected net new total flow of funds into all stock
mutual funds do not by themselves have a meaningful effect on firm equity valuation. However, we find the combination of unexpected
funds flow and realized abnormal earnings have significant and important valuation effects. Importantly, the valuation impact
is greatest for those firms with high earnings growth potential that also operate in an environment characterized by high
information asymmetry.
相似文献
Raman KumarEmail: |
20.
This study examines whether auditor opinions are affected by political and economic influences from governments. We use auditor
locality (local versus non-local) to capture such influences from local governments in China. Based on data from China’s stock
markets for the period 1996–2002, we find that local auditors, who have greater economic dependence on local clients and are subject to more political influence from local governments
than non-local auditors, are inclined to report favorably on local government-owned companies to mitigate probable economic
losses. Moreover, companies with qualified opinions are more likely to switch from a non-local auditor to a local auditor
than companies with unqualified opinions. Contrary to some prior studies, we find that in China’s political environment, local
government-owned companies that switched from a non-local auditor to a local auditor after receiving a qualified opinion can
succeed in opinion shopping.
相似文献
Phyllis Lai-lan MoEmail: |