This paper uses a conditional performance measure to test whether real estate investment trust (REIT) managers announcing stock repurchases have private information about their firms' prospects. We use stock price to condition for public information and measure the managers' implied private...

We study long-horizon shareholder returns in a comprehensive sample of Real Estate Investment Trust mergers, to test whether or not the anomaly of post-merger underperformance observed in conventional firms applies to the case of REITs. Constructing synthetic benchmark portfolios controlling for...

We test the Shleifer-Vishny hypothesis that asset liquidation values influence both firm leverage and the choice of debt maturity. Using panel data on REITs, we estimate a simultaneous equation model and find that firms specializing in the most (least) liquid assets use more (less) leverage and...

This paper examines the role of stock option programs and executive holdings of stock options in REIT governance. We study this issue by analyzing how the market reaction to a stock repurchase announcement varies as a function of the individual REIT's governance structure. In particular, we...

This paper develops a rational expectations framework for interpreting the coefficient on age in a standard hedonic model. The model demonstrates that there are two components to the age coefficient; a pure cross-sectional depreciation component and a demand-side component that changes over...

The purpose of this paper is to develop constant quality price indices for three categories of real estate: apartment building, vacant land, and condominiums for the city of Geneva, Switzerland. We use both the hedonic and repeat sales models to estimate the price level and, in turn, the rate of...

We examine the general hedging problem faced by a global portfolio manager or a pure exporting multinational firm. Most hedging models assume that these economic agents hold only a single asset in the spot market and are exposed only to a single source of price-quantity uncertainty. Such models...

Discounting cash flows requires an equilibrium model to determine the cost of capital. The CAPM of Sharpe (1964) and the intertemporal asset pricing model of Merton (1973) offer a theoretical justification for discounting at a constant risk adjusted rate. Two problems arise with this...

Many theoretical papers suggest that large informed traders should make misleading or random trades to disguise their trading. Alternatively, informed traders may trade purely on their estimate of stock value. This paper examines the trading behavior of a large institutional insider that...