The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach

Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables.     

Does knowing the volatility states affect the market risk premium?

Mayfield (J Financ Econ 73:465–496, 2004) has devised a method for estimating the market risk premium, based on a variant of Merton’s ICAPM wherein volatility is specified as a two-state Markov process. In this study, we assess Mayfield’s key assumption that investors know the current volatility state with certainty, via empirical testing of the assumption of exogenous Markov-switching in Mayfield’s model. We detect strong evidence of endogenous switching. This indicates that investors infer the current volatility state, as opposed to simply observing it. We also find that the risk premium estimates are affected by the switching type.     

We are more tolerant than I: self-construal and consumer responses toward deceptive advertising

Marketing Letters - Deceptive advertising, or advertising that intends to mislead consumers by false claims or incomplete disclosure, is ubiquitous in the marketplace. Though prior research has...     

Does Institutional Blockholder Short‐Termism Lead to Managerial Myopia? Evidence from Income Smoothing

We examine institutional blockholders’ influence on income‐smoothing practices in the Korean market, which provides an interesting setting where family‐oriented chaebols dictate the corporate landscape and impede shareholder activism. The empirical results reveal that institutional shareholders with a short‐term (long‐term) investment horizon facilitate (constrain) managerial myopia. This positive (negative) association is most evident among firms with domestic institutional investors. Therefore, we argue that the presence of domestic institutional investors with transient investment goals incentivizes firms’ management to smooth out earnings.     

Modeling and optimization of a container drayage problem with resource constraints

This paper investigates the problem faced by firms that transport containers by truck in an environment with resource constraints. The considered area is export-dominant. As a result, there are three types of container movements as inbound full, outbound full, and inbound empty movements. Both the time windows at the terminal and at the customers’ places and the operation times are considered. Empty containers are also regarded as separate transportation resources besides trucks. The total operating time including waiting time of all the trucks in operation is minimized. The problem is first formulated as a directed graph and then mathematically modeled based on the graph. It falls into a multiple traveling salesman problem with time windows (m-TSPTW) with resource constraints. An algorithm based on reactive tabu search (RTS) is developed to solve the problem. A number of randomly generated examples indicate that the algorithm can be applied to the real world.