In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the...

We examine the impact of the first phase of the Bank of England’s quantitative easing (QE) programme during March 2009 to January 2010 on the UK government bond (gilt) market, using high-frequency disaggregated data on individual gilts. We find that: QE announcements took varying amounts of...

This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

Empirical modeling of dividends has been dominated by Lintner (1956). However, Lintner's model suffers from the logical paradox that if companies have target payout ratios then in the steady state the companies will have reached those target payout ratios. Moreover as demon-strated by Bond and...

This study analyses the performance of real estate mutual funds for 1993 through 2001 period. The results indicate that real estate mutual funds do not provide positive abnormal performance on average. Fund performance to a large extent is determined by the performance of the real estate sector...

This paper provides a new model to explain local variation in apartment rents by introducing the notion of a spatial process. This model differs from those in the literature by explicitly specifying spatial association between pairs of locations as a function of distance between them. Data on...

This study examines the performance of acquisitions in the Real Estate Investment Trust (REIT) industry around the acquisition announcement and in the long-run. The results suggest that the acquiring REITs experience statistically significant negative abnormal returns while the target REITs earn...