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1.
Corporate cash holdings: Evidence from Switzerland 总被引:1,自引:0,他引:1
Wolfgang Drobetz Matthias C. Grüninger 《Financial Markets and Portfolio Management》2007,21(3):293-324
This paper investigates the determinants of cash holdings for a comprehensive sample of Swiss non-financial firms between
1995 and 2004. The median Swiss firm holds almost twice as much cash and cash equivalents as the median US or UK firm. Our
results indicate that asset tangibility and firm size are both negatively related to corporate cash holdings, and that there
is a non-linear relationship between the leverage ratio and liquidity. Dividend payments and operating cash flows are positively
related to cash reserves, but we cannot detect a significant relationship between growth opportunities and cash holdings.
Most of these empirical findings, but not all of them, can be explained by the transaction costs motive and/or the precautionary
motive. Analyzing the corporate governance structures of Swiss firms, we document a non-linear relationship between managerial
ownership and cash holdings, indicating an incentive alignment effect and an opposing effect related to increasing risk aversion.
Finally, our results suggest that firms in which the CEO simultaneously serves as the COB hold significantly more cash.
相似文献
Matthias C. GrüningerEmail: |
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.
Do core and non-core cash flows from operations persist differentially in predicting future cash flows? 总被引:2,自引:0,他引:2
This study investigates the persistence of cash flow components (core and non-core cash flows) using a cash flow prediction
model. By extending the Barth, Cram, and Nelson (Account Rev 76(January):27–58, 2001) model, we examine the role of cash flow components in predicting future cash flows beyond that of accrual components. We
propose a cash flow prediction model that decomposes cash flows from operations into core and non-core cash flow components
that parallel the presentation and format of operating income from the income statement. Consistent with the AICPA and financial
analysts’ recommendations, and as predicted, we find that core and non-core cash flows defined in our paper are differentially
persistent in predicting future cash flows; and these cash flow components enhance the in-sample predictive ability of cash
flow prediction models. We also analyze the association of in-sample prediction errors with earnings, cash flow and accruals
variability. We find that disaggregating cash flows improve in-sample prediction, especially for large firms with high cash
flows and earnings variability.
相似文献
Dana Hollie (Corresponding author)Email: |
4.
Derek K. Oler 《Review of Accounting Studies》2008,13(4):479-511
This paper investigates whether an acquirer’s pre-announcement cash level can predict post-acquisition returns. Harford (1999, Journal of Finance, 54, 1969–1997) shows that some cash-rich acquirers have lower announcement period returns than other acquirers, suggesting the
market partially anticipates poor future performance. This paper shows that the acquirer’s cash level is also strongly and
negatively predictive of post-acquisition returns, indicating that the announcement response is incomplete. Post-acquisition
return on net operating assets (RNOA) is significantly decreasing in acquirer cash, suggesting that the market responds to
subsequent poor operating performance as it is reported. Overall, these results are consistent with the market’s inattention
to a less prominent accounting signal (acquirer cash) but attentiveness to a more prominent accounting signal (RNOA), as proposed
by Hirshleifer and Teoh (2003, Journal of Accounting Economics, 36, 337–386).
相似文献
Derek K. OlerEmail: |
5.
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: |
6.
We examine Initial Public Offerings (IPOs) of Real Estate Investment Trusts (REITs) that went public between 1986 and 2004.
Consistent with previous studies, we find that REIT IPOs are associated with lower levels of underpricing relative to traditional
issues. We also find that REITs are associated with smaller file price revisions. Both findings are potentially attributable
to the lower level of uncertainty associated with pricing REITs. In contrast, using an alternative measure of issuance costs
that incorporates the share retention decision by preexisting owners, we find no significant difference between REIT and non-REIT
issues, suggesting the results of previous studies are not robust to various specifications of issuance cost and that preexisting
owners do not necessarily benefit from the lower level of underpricing. Additionally, we find no difference in the issuance
costs of equity versus mortgage REITs, particularly once we control for the use of umbrella partnerships.
相似文献
Mark K. PylesEmail: |
7.
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: |
8.
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: |
9.
Ran Lu-Andrews 《The Journal of Real Estate Finance and Economics》2017,54(3):272-296
Property values depend upon quality tenants and consistency (Smith: The RMA Journal 50-60, 2009). REIT firms are only as strong as their properties. In this research I examine how tenant quality affects REIT firm liquidity management (i.e. cash holdings and utilization of line of credit). I find that 1) tenant Altman Z-score and size are inversely related to total liquidity (cash plus unused credit line) and unused credit lines of REIT firms; 2) tenant size is inversely related to the total corporate liquidity and unused credit lines of REIT firms, but has no affect on REIT cash holdings; 3) tenant credit ratings are negatively related to total credit available and unused credit lines; 4) tenant book-to-market ratio and tenant profitability are negatively related to REIT cash holdings, but positively correlated to the total available credit lines and unused credit lines of REIT firms; 5) these effects vary across different property types. These results suggest that the analysis of tenant quality can offer insights into the firm policy and decision makings of REIT firms. 相似文献
10.
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: |
11.
Corporate voluntary disclosure and the separation of cash flow rights from control rights 总被引:1,自引:1,他引:0
Kin-Wai Lee 《Review of Quantitative Finance and Accounting》2007,28(4):393-416
We find that corporate voluntary disclosure is negatively associated with the separation of cash flow rights from control
rights. This result is consistent with the notion that as the separation of cash flow rights from control rights increases,
controlling owners have larger incentives to expropriate the wealth of minority shareholders and low corporate disclosure
constitutes a mechanism to facilitate controlling owners in masking their private benefits of control. The negative association
between voluntary disclosure and the separation of cash flow rights from control rights is less pronounced for firms with
greater external financing needs. This result suggests that for firms with high separation of cash flow rights from control
rights, those with greater external financing needs undertake higher firm-level voluntary disclosure to reduce information
asymmetry. We also find that the negative association between voluntary disclosure and the separation of cash flow rights
from control rights is less pronounced for firms that have a large non-management shareholder. Our result supports the role
of large non-management shareholder in mitigating agency problems associated with the separation of ownership and control.
相似文献
Kin-Wai LeeEmail: |
12.
Home Equity,Household Savings and Consumption 总被引:1,自引:0,他引:1
The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities
and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases
even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always
positive and can be positively correlated with housing debt.
相似文献
P. ChinloyEmail: |
13.
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: |
14.
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: |
15.
Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of
defaultable bonds and evaluates their spread risk. We introduce “yield spread term-quality surface” (YSTQS) which is defined
on the space of duration and credit reliability of the issuers, and express their yield spread. First, we review the general
pricing theorem of defaultable bonds with unpredictable recovery in the no-arbitrage context based on the external hazard
rates. Second, we show that the dynamics of state variables determine the shape of the YSTQS, and they drive the YSTQS if
the loss-adjusted hazard rates are described by a function of them. Finally, we show an empirical analysis of our model with
daily yield spread, duration, and the credit ratings of corporate bonds.
相似文献
Tomoaki ShoudaEmail: |
16.
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 |
17.
William D. Terando Wayne H. Shaw David B. Smith 《Review of Quantitative Finance and Accounting》2007,29(3):223-240
This paper examines whether investors’ valuations of cash and share-put warrants are influenced by their potential differential
effect on firm solvency. It is motivated by the enactment of SFAS 150, which requires that all contingent put warrant obligations
be classified as balance sheet liabilities regardless of put type. Consistent with the critics of SFAS150, we show that market
participants differentially value cash and share-puts based on their solvency characteristics beyond the firm’s recorded assets
and liabilities. Our results add to existing capital structure literature by suggesting that complex financial instruments
(such as cash and share-puts) be reported separately from each other on a firm’s balance sheet.
相似文献
William D. TerandoEmail: |
18.
Among the issues raised by consolidation within the banking industry is a concern that small businesses will be less able
to obtain credit as community banks are acquired by larger or non-local institutions. Community banks have traditionally been
a major source of funding for small businesses. The impact of bank consolidation on credit availability may depend in part
on whether the remaining community institutions expand their small business lending activities. This study examines whether
credit unions have a propensity to extend business loans in markets that have experienced bank merger and acquisition activity.
We find some evidence that credit unions are more likely to engage in business lending in markets characterized by greater
bank merger and acquisition activity. Moreover, the estimated economic significance is meaningful in many of the specifications.
相似文献
Kenneth J. RobinsonEmail: |
19.
Ling Chu Robert Mathieu Sean Robb Ping Zhang 《Review of Quantitative Finance and Accounting》2007,28(2):147-162
In this paper, we provide evidence that banks with a low level of capitalization have reduced their commitment with respect
to lines of credit after the introduction of the Basle Accord. A bank's lending behavior reflects its level of commitment
towards borrowers, which in turn affects the level of effort it exerts on screening and monitoring the activities of borrowers.
We find that the post-Basle Accord market reaction to the announcement of lines of credit issued by banks with a low level
of capitalization is significantly lower than the reaction to other types of bank credit announcements. We interpret this
result as evidence that some banks have a low level of commitment associated with lines of credit after the Basle Accord.
相似文献
Sean RobbEmail: |
20.
Brent W. Ambrose Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(3):281-298
Previous research either assumes default free leases or leases subject to default risk using a structural approach. However,
structural credit risk models suffer from a common criticism that the firm’s asset value process is unobservable. We develop
a reduced form credit risk model for leases that avoids making assumptions regarding unobservable asset valuation processes.
Furthermore, we assume a correlated market and credit risk that provides us with a simple analytic formula for valuing defaultable
lease contracts. Numerical analysis reveals that tenant credit risk can have a substantial impact on the term structure of
leases. Finally, we use the model to demonstrate the implied lease term structure for a set of retail and financial firms
in the Fall of 2000.
相似文献
Yildiray YildirimEmail: |