The determinants of office cap rates: The international evidence

We examine commercial office cap rates in 89 large cities in 33 developed and developing countries in the 2000–2019 period. We find that cap rates decline throughout the world over this period, reflecting a corresponding decline in the real rate of interest. In the cross-city analysis our most robust findings are that office cap rates are lower in wealthier cities, especially those that are either considered gateway cities or financial centers. In addition, cap rates tend to be higher in countries with lower credit ratings and higher inflation rates. We find that cap rates in suburban office markets are higher than in central business districts, and for a given metropolis, suburban cap rates are lower in suburbs with better public transport connections to the central business district. Finally, evidence from regressions with city fixed effects reveal that cap rates rise as the discount rate and vacancy rates increase and fall as cities get wealthier.     

REIT and Commercial Real Estate Returns: A Postmortem of the Financial Crisis

In the years surrounding the financial crisis, the share prices of equity Real Estate Investment Trusts (REITs) were much more volatile than the underlying commercial real estate prices. To better understand this phenomenon we examine the cross‐sectional dispersion of REIT returns during this time period with a particular focus on the influence of their capital structures. By looking at both the debt ratio and the maturity structure of the debt, we separate the pure leverage effect from the effect of financial distress. Consistent with leverage and financial distress costs amplifying the price decline, we find that the share prices of REITs with higher debt‐to‐asset ratios and shorter maturity debt fell more during the 2007 to early‐2009 crisis period. Although REIT prices rebounded with the bounce back in commercial real estate prices, financial distress costs had a permanent effect on REIT values. In particular, we find that REITs with more debt due during the crisis period tended to sell more property and issue more equity in 2009, when prices were depressed.     

A Dynamic Model of Optimal Capital Structure

This paper presents a continuous time model of a firm that candynamically adjust both its capital structure and its investmentchoices. In the model we endogenize the investment choice aswell as firm value, which are both determined by an exogenousprice process that describes the firm's product market. Withinthe context of this model we explore cross-sectional as wellas time-series variation in debt ratios. We pay particular attentionto interactions between financial distress costs and debtholder/equityholderagency problems and examine how the ability to dynamically adjustthe debt ratio affects the deviation of actual debt ratios fromtheir targets. Regressions estimated on simulated data generatedby our model are roughly consistent with actual regressionsestimated in the empirical literature.     

Overreaction, delayed reaction, and contrarian profits

This article examines the contribution of stock price overreactionand delayed reaction to the profitability of contrarian strategies.The evidence indicates that stock prices overreact to firm-specificinformation, but react with a delay to common factors. Delayedreactions to common factors give rise to a size-related lead-lageffect in stock returns. In sharp contrast with the conclusionsin the extant literature, however, this article finds that mostof the contrarian profit is due to stock price overreactionand a very small fraction of the profit can be attributed tothe lead-lag effect.     

Portfolio performance evaluation: old issues and new insights

This article presents a model that provides insights about variousmeasures of portfolio performance. The model explores severalcriticisms of these measures. These include the problem of identifyingan appropriate benchmark portfolio, the possibility of overestimatingrisk because of market-timing ability, and the failure of informedinvestors to earn positive risk-adjusted returns because ofincreasing risk aversion. The article argues that these neednot be serious impediments to performance evaluation.     

华为让美国人惊呼狼来了！

或许。华为很快就将成为全球最大的网络设备制造商,但它却始终无法打入美国市场。原因何在？或许,最大的原因在于美国国内蔓延的一种恐惧情绪,担心华为的目的是替中国政府进行间谍活动。