Showing 1 - 10 of 77
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
, 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
, 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
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
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
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
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
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
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
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