The underreaction hypothesis and the new issue puzzle: evidence from Japan

This article investigates the long-term equity performance ofJapanese firms issuing convertible debt and equity. We findthat issuing firms perform poorly (except for equity rightsissues) compared to nonissuing firms even though the stock-pricereaction to convertible debt and equity issues is not negativefor Japanese firms. This underperformance is strongest for firmsissuing public convertible debt. In contrast to the United States,poor performance is not concentrated in smaller firms and infirms with a high market-to-book ratio. Simple behavioral explanationsadvanced for the new issue puzzle in the United States do notseem consistent with the Japanese experience.     

Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992

Two strands of real estate research—that concerned with the relationships between securitized real estate and the underlying market and that dealing with the role of property in the wider economy—rarely are considered together. The paper utilizes the U.K. equity market and property company share data to explore the relationships between real estate and the rest of the economy, using a two-sector analytic model. Causality analysis suggests that the wider economy leads the real estate market in the short term but that, with a longer lag structure, positive real estate returns may point to negative future returns in the rest of the economy. This provides weak confirmatory evidence for theories of capital switching between sectors.     

Long-horizon abnormal performance following rights issues and placings: Additional evidence from the U.K. market

We revisit the long-horizon abnormal performance of U.K. firms following rights issues and placings over the period 1989-1997. We make the following contributions relative to prior research. First, we use, as far as we are aware, a more comprehensive data set of rights issues and placings than hitherto studied for the U.K. market. We thus exploit the fact that issuing new equity predominantly through rights issues is a feature of the U.K. equity market that differs from the U.S. and other markets, where public offers dominate seasoned equity issues. Second, we study both the pre- and post-offer long-horizon performance, complementing previous research that focuses only on announcement-day wealth effects. Third, we apply various metrics and revisit the evidence of long-horizon post-offer underperformance reported in previous research. We find, however, little evidence of long-horizon post-offer underperformance for U.K. firms following issues of equity through rights issues or by placings.     

A multivariate analysis of REIT performance by financial and real asset portfolio characteristics

This paper examines the risk-adjusted performance of real estate investment trusts (REITs) from 1986 through 1990 in relation to financial and property characteristics of their portfolios. The Sharpe measure of risk-adjusted rate of return was regressed against financial ratios and property investment ratios for a sample of equity and mortgage REITs. The results show that, in general, financial ratios (gross cash flow, leverage, asset size), regional location of properties, and types of real estate investments determine the risk-adjusted performance. More specifically, location of properties in the western United States, ownership of health care properties, and investment in securitized mortgages positively affect the risk-adjusted return. The individual financial variables were not found to be statistically significant in influencing REIT returns.     

Advisor Choice in Asia-Pacific Property Markets

This paper examines advisor choice decisions by publicly traded REITs and listed property companies in Asia-Pacific real estate markets. Using a sample of 168 firms, we find robust evidence that firms strategically evaluate and compare the increased agency costs associated with external advisement against the potential benefits associated with collocating decision rights with location specific soft information. Our empirical results reveal real estate companies tend to hire external advisors when they invest in countries: 1) that are more economically and politically unstable, 2) whose legal system is based on civil law, 3) where the level of corruption is perceived to be high, and 4) when disclosure is relatively poor. Additionally, we find the probability of retaining an external advisor is directly related to the expected agency costs. Lastly, we find evidence of return premiums in excess of 13 % for firms whose organizational structure matches their investment profile. As such, we conclude that the decision to hire an external advisor represents a value relevant trade-off between the costs and benefits of this organizational arrangement.     

Determinants of Foreign Versus Domestic Real Estate Investment: Property Level Evidence from Listed Real Estate Investment Firms

We examine the determinants of foreign real estate investment relative to the domestic case using the portfolios of a large sample of publicly traded real estate investment companies; where foreign investment is defined as the property owner headquarters being located in a different country than a given asset. The cross-sectional results provide strong evidence that real estate firms are more likely to take a smaller stake in larger assets when investing abroad. The penchant for large assets holds when controlling for economic activity, real estate investment opportunities, depth and sophistication of the capital markets, investor protection and the legal framework, administrative burdens and regulatory limitations, and the socio-cultural and political environment at both the property nation and headquarter nation levels. In general, foreign ownership is less likely with industrial, office, retail, and self-storage properties. Capital market development is consistently negatively related to foreign investment.     

Transparency, Integration, and the Cost of International Real Estate Investments

This paper investigates the importance of market institutions for the performance of international property investors during the 1996?C2007 period. The results show that international property companies underperform local property companies in the early years of the sample period. This underperformance is driven by the political environment, the level of economic integration, and the transparency of the real estate market in target countries. The underperformance of internationals disappears in the later years of the sample period, and so does the significance of the aforementioned factors in explaining performance differences among international companies. These findings suggest that the increased transparency of the global real estate industry has leveled the playing field for foreign property investors.     

Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies

We investigate the long-run underperformance of recent initial public offering (IPO) firms in a sample of 934 venture-backed IPOs from 1972–1992 and 3,407 nonventure-backed IPOs from 1975–1992. We find that venture-backed IPOs outperform non-venture-backed IPOs using equal weighted returns. Value weighting significantly reduces performance differences and substantially reduces underperformance for nonventure-backed IPOs. In tests using several comparable benchmarks and the Fama-French (1993) three factor asset pricing model, venture-backed companies do not significantly underperform, while the smallest nonventure-backed firms do. Underperformance, however, is not an IPO effect. Similar size and book-to-market firms that have not issued equity perform as poorly as IPOs.     

Real Estate Risk,Corporate Investment and Financing Choice

This paper empirically examines how real estate risk impacts corporate investment and financing decisions. Using a panel of United States firms from 1985 to 2013, we document that real estate risk is negatively associated with firms’ long-term investments and long-term external financing in equity and debt. The results are robust to different risk measurements and in particular salient during the financial crisis period when the endogeneity between risk and investment is less of a concern. The effect on firm leverage, however, depends on risk measures. Overall, in contrast to previously documented positive effects of the real estate value, real estate risk exposure exhibits mostly the opposite effects on investment, financing and capital structure. This difference is consistent with option value determinants. Findings in this paper shed new lights on the impact of real estate holding on corporate decisions, offer a new explanation for the underperformance of hedge funds’ real estate strategies, and confirm the theoretical predictions in Deng et al. (2015).     

The nature of listed real estate companies: property or equity market?

This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate correlation structures and cointegration relationships of private and public real estate and equity markets for the United States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.

Evidence on the Trade-Off between Risk and Return for IPO and SEO Firms

Do the low long‐run average returns of equity issuers reflect underperformance due to mispricing or the risk characteristics of the issuing firms? We shed new light on this question by examining how institutional lenders price loans of equity issuing firms. Accounting for standard risk factors, we find that equity issuing firms' expected debt return is equivalent to the expected debt return of nonissuing firms, implying that institutional lenders perceive equity issuers to be as risky as similar nonissuing firms. In general, institutional lenders perceive small and high book‐to‐market borrowers as systematically riskier than larger borrowers with low book‐to‐market ratios, consistent with the asset pricing approach in Fama and French (1993) . Finally, we find that firms' expected debt returns decline after equity offerings, consistent with recent theoretical arguments suggesting that firm risk should decline following an equity offering. Overall, our analysis provides novel evidence consistent with risk‐based explanations for the observed equity returns following IPOs and SEOs.     

Property shares, appraisals and the stock market: An international perspective

A severe problem facing both real estate researchers and investors is the lack of reliable real estate returns data. Property shares, the shares of companies which invest in property and manage a portfolio of real estate, have been proposed as indicators of real estate performance. Property shares exist in many countries, are publicly traded, and their returns are not inherently biased. For three countries, we investigate the relationships with common stock and appraisal-based returns which property share returns exhibit. Our results indicate that property shares are closely related to the stock markets on which they trade, thereby confirming previous findings for the United States. However, property share returns also predict appraisal-based indices.     

The long run performance of UK firms making multiple rights issues

This study examines the long run performance of firms offering multiple rights issues in the UK and differentiates between one-time and multiple issuers. By analysing a sample of 1146 rights issues offered by 788 London Stock Exchange listed industrial companies between 1988 and 2008, this study reports that firms making multiple rights issues do not experience significant long run underperformance following the third or subsequent issues. However, the one-time rights issuers do experience underperformance during the sample period. The findings of this study thus imply that those firms which are making multiple rights issues are of better quality and investors could avoid loses by investing in firms which had made more than one rights issue in the past. The results also suggest that researchers which are intending to examine the long run post-event performance of firms should control the incidence of similar events that had happened in previous years.     

Overinvestment and the Operating Performance of SEO Firms

Prior studies have documented that firms' operating performance deteriorates following seasoned equity offerings (SEOs). This paper proposes and empirically tests the hypothesis that this poor performance is the result of managers' overinvestment. I find that, subsequent to the offering, SEO firms tend to invest more heavily than nonissuing control firms that are in the same industry and have enough financial slack and similar investment opportunities. More importantly, I find a negative correlation between postissue investment and operating performance, controlling for investment opportunities and preissue performance. Overinvestment results in a reduction in asset productivity and is more severe for firms with relatively fewer investment opportunities.     

Rights Offerings and Corporate Financial Condition

Certain American industrial firms still use equity rights offerings. Most of these offerings are uninsured. I examine firms' financing decisions, and develop the explanation that rights offerings are used by firms in financial distress with difficulty accessing underwriting services. These firms have little to lose from the costs of adverse selection that accompany the lack of underwriter certification of uninsured rights offerings. Probit analysis of 660 seasoned NYSE, Amex, and Nasdaq equity issues between 1983–1999 yields results consistent with my explanation. There is no evidence that variables previously linked to rights usage (e.g., ownership concentration) continue to be relevant to the issue method choice.     

Development Involvement and Property Share Performance: International Evidence

This paper concerns the dilemma whether regulators should preclude tax-exempt property investment companies from engaging in property development activities. We analyze the economic effects of combinations of property investment and property development by looking at the performance of an international set of property investment companies with varying degrees of involvement in property development. We study the five most important listed property markets in the world: the United States, Hong Kong, Australia, the United Kingdom and France. We examine the extent to which property investment companies participate in development projects by dividing the book value of their development projects by total assets. These development ratios yield remarkable differences both within and across national samples, with national averages varying between 2.23 percent for the United States and 21.34 percent for our Hong Kong sample. Analysis of property share performance yields results that consistently indicate that the cluster of property companies most involved in development projects is associated with both the highest total return and the highest systematic risk. We also find a weak positive link between development involvement and the Jensen alpha of property shares. The statistical significance of this link varies by country, with strong results for Hong Kong and Australia and less compelling results for the United States, the United Kingdom and France. Besides analyzing the stock performance of the companies in our samples we also focus on their operational profitability. Again, we consistently find both the highest and most volatile performance for companies actively participating in property development projects.     

Risk and return in real estate

Basic information is provided on the returns and risks from 1978 through 1985 for unleveraged equity real estate compared with stocks and bonds. Data sources include the Russell-NCREIF index, the Evaluation Associates index, and the Goldman Sachs equity real estate investment trust index. Findings reveal that the aggregate return for the publicly traded equity real estate investment trust index in nearly twice that of the other real estate series, and more than twice that of the Standard & Poor index. The equity real estate investment trust is far more volatile than the other two real estate series. Neither the Goldman Sachs nor the other two indexes exactly measure the returns or risks on equity real estate. The volatility of the equity real estate investment trust leads it to overstate the risk of this investment category, while the other two indexes are not return indexes. Estimates from this study indicate that real estate risk lies plausibly midway between that of stocks and bonds, in the 9 percent to 13 percent range.     

Does market misvaluation help explain share market long‐run underperformance following a seasoned equity issue?

We examine the relation between pre‐seasoned equity offering (SEO) announcement date misvaluation and long‐run post‐SEO performance for a large sample of Australian SEOs made between 1993 and 2001. Our study is motivated by inconsistent findings across countries with respect to the SEO long‐run underperformance anomaly first documented in the USA, inconclusive findings with respect to the hypothesis that managers exploit market misvaluation when timing equity issues, and a recent Australian Stock Exchange proposal to loosen SEO regulation. We find SEO firms underperform common share market benchmarks for up to 5 years after the announcement. Using a residual income valuation method, we show that this underperformance is related to pre‐announcement date misvaluation. An unexpected result is that underperformance and misvaluation are more severe for private placements than rights issues. Institutional factors unique to the Australian setting, particularly the large number of smaller loss‐making firms among private placement issuers, appear to explain the poorer performance of placement firms. Our results are robust to various measurement methods and assumptions, and demonstrate the importance of researching SEO performance in alternative institutional settings.     

房地产上市公司融资模式对投资行为的影响

借鉴 Aivazianetal 简化投资模型建立了融资模式对投资行为影响的理论模型,基于1998~2012年的面板数据,实证研究不同产权属性和不同规模房地产上市公司融资模式对投资行为的影响。研究发现：房地产上市公司的债务融资会促使投资增长,而股权融资会减少投资,内源性融资与投资行为的相关性并不显著;国有房地产上市公司的投资行为更加积极;大规模房地产上市公司受外部融资约束更强。为此,应完善房地产上市公司治理结构、拓宽融资渠道。     

Testing Calendar Effects of International Equity and Real Estate Markets

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. Habitat International 48, 38–45, (2015b) incorporated Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed the moving-window size to be 130 days. How the change in moving-window size affects the calendar effects cannot be seen. In this study, we also apply the Shiryaev-Zhou index, but we allow the moving-window size to vary. Furthermore, we incorporated Shiryaev-Zhou index with analysis of mean (ANOM) and logistic regression to examine calendar effects of general equity and securitized real estate indices of Hong Kong, Japan, US, UK, France and Germany during the period 1996 – 2014. The results show that our new methods can detect additional channels of significant calendar effects of which normal methods fail to show. Furthermore, the general equity indices show significant Halloween and January effects. However, for the securitized real estate indices, the Halloween and January effects are less significant or even go into reverse in some cases. This study has two main implications. Firstly, investors can formulate a better trading strategy to earn more profits. Secondly, trends and phenomena found in equity markets may not be applicable to real estate markets, so investment rules on equity markets may not work on real estate markets.