Market Value of REIT Liquidity

We examine the relation between firm value and liquidity among REITs. Results show shareholders benefit from both cash and unused credit line capacity. The market values an additional dollar of cash at a premium and, as theory predicts, unused credit lines are significantly less valued than cash. Evidence suggests an increase in the market value of liquidity during the recent financial crisis. We also find that financial characteristics quantifying financial constraint influence the value of REIT financial flexibility. Most notably, the value of cash decreases with remaining credit line capacity. Although prior studies argue that cash and credit lines are substitutes, this is one of the first tests of whether the market prices this substitutability.     

REIT Stock Splits and Liquidity Changes

This study examines the motive of stock splits made by REITs. We find that REIT liquidity increases after the split announcement. However, the increase in liquidity is limited to days around the split announcement. After the ex-date, the liquidity tends to revert back to the pre-split level. We find that the positive market reaction around the announcement date is positively related to the change in short-term liquidity but not to the change in long-term liquidity. The announcement effect is also not correlated with future changes in operating performance. Overall, our results suggest that REITs split their share to attract investors’ attention rather than to signal or to improve trading liquidity in the long run.     

Liquidity and the Future Stock Returns of the REIT Industry

This paper examines how deviations from expected optimal cash holdings affect future stock returns in the real estate investment trust (REIT) industry. Our findings indicate that REIT managers elect to hold less cash to reduce the agency problems of cash flow, supporting the pecking order theory that growth opportunities lead managers to retain more cash on hand. The results show that any deviation from the estimated optimal cash holdings is significantly detrimental to future market performance, suggesting that excess or insufficient cash is harmful to stock returns. The adverse influence of deviations above the optimal value is insignificantly stronger than that of deviations below the optimal value. We also find that the return performances of deviations that do not differ from the expected optimal value surpass those of deviations that differ significantly from the expected level. This implies that REIT managers determine their cash policies based on future growth opportunities and the external costs of capital. Finally, for REIT firms, holding excess or insufficient cash increases the possibility of agency conflict or underinvestment, which will consequently worsen the firm??s future performance.     

Housing Vouchers,Tenant Quality,and Apartment Values

Landlords face unique concerns in maximizing profits when they accept subsidized as well as unsubsidized tenants. Subsidized tenants come with lower rental collection risk because part or all of the rent is paid by a public agency and accepting subsidized tenants may widen the potential tenant market. But subsidized tenants tend to reduce overall tenant quality and to impose higher operating costs. By accepting subsidies, landlords may also subject themselves to periodic site inspections that may increase capital costs. Further, subsidized tenants may eventually crowd out unsubsidized tenants, lowering the average quality of the resident mix. Tests from Washington, DC apartments on accepting and advertising for Section 8 tenants support these qualitative predictions. Accepting Section 8 tenants enhances revenues, but advertising for them lowers revenues. More aggressive solicitation of subsidized tenants leads to a crowding out or displacement risk that dominates over any diminished collection risk.     

商业银行经营中的流动性、流动性风险及其管理

一、流动性、流动性风险与银行挤兑 商业银行的流动性是指银行能够随时满足存款者的提现需求和借款者的正当贷款需求的能力.流动性是银行的生命线,也是整个金融体系及至整个经济体系对流动性需求的保证.盈利性和流动性是银行风险管理首先要解决的一对矛盾.如果银行持有大量的高流动性资产,当然可以减少流动性风险,但是同时也降低了银行的收益.     

REIT Momentum and Characteristic-Related REIT Returns

Recent evidence confirms that in factor-model examinations of the cross-section of REIT returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of the REITs themselves, in the manner of Daniel and Titman’s (Journal of Finance 52(1):1–33, 1997, Journal of Portfolio Management 24(4):24–33, 1998) characteristics model. Over the period 1993 through 2009, we find that after controlling for momentum, book-to-market, institutional ownership, and illiquidity are all strongly associated with REIT returns while size and analyst coverage are not. We further extend prior research by examining the influence of changes in interest rate cycles on REIT returns, and find that the characteristic-return relationships are heavily influenced by interest rates.     

Dedicated REIT Mutual Fund Flows and REIT Performance

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant.     

影子银行体系与流动性管理

影子银行体系具有特殊的形成机理,是金融抑制制度背景下的博弈产物。目前,影子银行体系在金融市场上以证券化的方式创造流动性,容易在短期内出现从流动性过剩到流动性紧缩的转变,造成宏观经济的不稳定,需要作出必要的监管安排。     

REIT Characteristics and the Sensitivity of REIT Returns

Previous research on the returns to real estate investment trusts (REITs) has considered whether REITs are systematically exposed to general stock-market risk and interest-rate risk. This study examines how the sensitivity of REIT returns to these factors may be influenced by various REIT characteristics. Using a sample of publicly traded REITs, we estimate the sensitivity of REIT returns to stock market and interest-rate changes. We then propose and implement a model for testing whether differences in asset structure, financial leverage, management strategy, and degree of specialization in the REIT portfolios are related to their sensitivity to interest rate and market risk. Our results permit us to offer some inferences about how REITs can alter their risk exposure by managing these characteristics.     

School Quality, House Prices and Liquidity

This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity, are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with search-market theory in that liquidity absorbs part of the capitalization of school quality.

当前银行业流动性管理面临的挑战和对策

2008年6月7日,中国人民银行决定上调存款类金融机构人民币存款准备金率1个百分点,上调后存款类金融机构人民币存款准备金率达到17.5%的历史高位.     

商业银行流动性风险管理

美国次贷危机的爆发使之前宽松的资金环境突然间收紧,流动性风险迅速显现.一时间,流动性风险迅速成为了各家商业银行、其他金融机构和中央银行所面临的难题.     

宏观调控、金融创新与流动性管理

流动性管理的要点在于流动性与实体经济发展相匹配。文章刻画了流动性管理的目标函数,阐述和梳理了流动性管理的基本原理和基本方法,检验了主要流动性管理工具的实际效果。经验研究结果表明,在流动性充裕情况下,通过实施紧缩性货币政策、人民币升值、积极的财政政策对流动性管理可能无效,而通过金融创新,调整银证结构、信贷结构和投资结构,有助于进行流动性管理。     

中小银行流动性风险管理

随着全球性金融危机爆发,国内房地产市场由热转冷,各地政府纷纷出手救市,央行货币政策似有放松之意,中小银行上半年流动性趋紧现象有所缓解,但流动性风险管理难度加大问题任然存在.流动性风险特有的突发性,更象令人胆寒的心肌梗塞,瞬间造成心脏供血机能丧失,假若自身融资能力低下、外部救助又迟缓或不力,极易导致中小银行"猝死",甚至演变成全局性的金融动荡.     

流动性风险的稳健管理与监管准则

为了反映全球金融市场的最新发展,总结2007年金融市场动荡的经验教训,巴塞尔银行监管委员会对其2000年发布的《银行机构流动性管理的稳健操作》进行了重大调整。调整后的报告认为有效的流动性风险管理至关重要,有助于银行始终拥有满足现金流需要的能力,减少对金融系统所产生的负面影响;而金融市场在过去十年间的发展加剧了流动性风险及其管理的复杂性,国际清算银行在此基础上从流动性风险的治理、计量和管理,银行信息的公开披露、监管者的职责等几个方面提出了十七条流动性风险管理和监管的准则。     

Monetary Shocks and REIT Returns

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.

Investor Sentiment and REIT Returns

Recent advances in the field of behavioral finance have given a fillip to the use of behavioral factors in asset pricing models. This study adds to the understanding of the REIT return generating process by exploring the behavioral impact of investor sentiment on REIT returns. The results show that when investors are optimistic (pessimistic), REIT returns become higher (lower). These findings are robust when conventional control variables are considered. Empirical analysis indicates steady erosion in the importance of the default and term structure interest rate variables previously considered as important determinants of REIT returns. Previous noise trading papers that consider the impact of institutional traders conclude that institutional investors cannot arbitrage away noise trader risk. The results of this paper find an exception in the case of small REITs. Examination of REITs based on size reveals that the return generating process of small REITs differs from that of mid-size and large REITs. Analysis of the return generating process by performance shows high performance REITs are more sensitive to the independent variables in the model as compared to the low and mid performance REITs.     

商业银行流动性管理的国外经验与中国选择

变化是金融市场永远不变的法则.次级债危机之前国际金融机构还在为流动性过剩头痛不已,转眼之间金融市场陷入了由信用紧缩导致的流动性枯竭困境之中.     

流动性风险管理新规及其挑战

正国际流动性风险管理新规出台背景近年来,巴塞尔银行监管委员会在总结国际金融危机应对经验教训的基础上,为持续提高全球银行业流动性风险管理水平,确保银行体系流动性充足和安全稳健运行、组织成员国和地区监管当局共同研