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Underlying asset liquidity, heterogeneously informed investors, and REITs excess returns
Lu, Chia-Wu; Chen, Tsung-Kang; Liao, Hsien-Hsing - In: Managerial Finance 40 (2014), pp. 72-96
simultaneously investigate the effects of heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns … that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns while information … asymmetry (ADJPIN) is insignificant when controlling for other variables well known for affecting REIT excess returns …
Persistent link: https://www.econbiz.de/10010814858
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Mean-variance analysis with REITs in mixed asset portfolios: The return interval and the time period used for the estimation of inputs
Waggle, Doug; Moon, Gisung - In: Managerial Finance 32 (2006), pp. 955-968
, semiannual, or annual) used for calculating real estate investment trust (REIT) returns has a significant effect on optimal … historical returns, standard deviations, and correlations (assuming different time intervals) of the various asset classes are … allocations to REITs that are considerably higher. Likewise, using monthly and quarterly returns tends to understate the …
Persistent link: https://www.econbiz.de/10010747818
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Mean‐variance analysis with REITs in mixed asset portfolios
Waggle, Doug; Moon, Gisung - In: Managerial Finance 32 (2006) 12, pp. 955-968
, semiannual, or annual) used for calculating real estate investment trust (REIT) returns has a significant effect on optimal … historical returns, standard deviations, and correlations (assuming different time intervals) of the various asset classes are … allocations to REITs that are considerably higher. Likewise, using monthly and quarterly returns tends to understate the …
Persistent link: https://www.econbiz.de/10014939895
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Underlying asset liquidity, heterogeneously informed investors, and REITs excess returns
Lu, Chia-Wu; Chen, Tsung-Kang; Liao, Hsien-Hsing - In: Managerial Finance 40 (2014) 1, pp. 72-96
simultaneously investigate the effects of heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns … that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns while information … asymmetry (ADJPIN) is insignificant when controlling for other variables well known for affecting REIT excess returns …
Persistent link: https://www.econbiz.de/10014941485
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Stock price movement around the merger announcements: insider trading or market anticipation?
Jain, Pawan; Sunderman, Mark A. - In: Managerial Finance 40 (2014), pp. 821-843
Purpose - The purpose of this paper is to examine the stock price movements for existence of informed trading prior to a merger announcement for the companies listed on the emerging markets of India for the period from 1996 to 2010. Design/methodology/approach - This study applies several event...
Persistent link: https://www.econbiz.de/10010814857
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Stock price movement around the merger announcements: insider trading or market anticipation?
Jain, Pawan; A. Sunderman, Mark - In: Managerial Finance 40 (2014) 8, pp. 821-843
Purpose – The purpose of this paper is to examine the stock price movements for existence of informed trading prior to a merger announcement for the companies listed on the emerging markets of India for the period from 1996 to 2010. Design/methodology/approach – This study applies several...
Persistent link: https://www.econbiz.de/10014941735
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Additions to S&P 500 Index: not so informative any more
Kamal, Rashiqa; Lawrence, Edward R.; McCabe, George; … - In: Managerial Finance 38 (2012) March, pp. 380-402
Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significant abnormal returns and an … result in reduced abnormal returns in the post-2000 period. Design/methodology/approach – The authors compare the abnormal … returns and liquidity changes around the announcement day of firm's addition to S&P 500 in the pre- and post-2000 periods …
Persistent link: https://www.econbiz.de/10010540352
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Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence
Degiannakis, Stavros; Floros, Christos; Livada, Alexandra - In: Managerial Finance 38 (2012) March, pp. 436-452
assuming a conditional normally distributed returns; and asymmetric GARCH with skewed Student-t distributed standardized … only for the pre-2008 period of the financial crisis but also for the period of high volatility of stock market returns …
Persistent link: https://www.econbiz.de/10010540353
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Momentum and behavioral finance
Du, Ding - In: Managerial Finance 38 (2012) March, pp. 364-379
returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings … focuses on the sources of momentum profits in monthly returns. The findings that momentum has multiple sources call for new …
Persistent link: https://www.econbiz.de/10010540357
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Cross-sectional differences in the profits, returns and risk of firms initiating dividends
Fargher, Neil L.; Weigand, Robert A. - In: Managerial Finance 35 (2009) May, pp. 509-530
Purpose – The purpose of this paper is to examine the Dickens et al. model of bank holding company dividend policy. They identified five explanatory factors in a sample of bank holding companies (BHCs). Banking companies typically pay larger dividends and more often than industrial firms....
Persistent link: https://www.econbiz.de/10009245363