This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the...

Previous studies show that REITs returns and inflation are negatively related. This paper reexamines this perverse inflation hedge phenomenon by investigating the relationship among REITs returns, real activities, monetary policy and inflation through a Vector Error Correction Model. Empirical...

In this paper, the diversification benefits of using stock index futures are examined. Empirical evidence shows that traditional diversification in international equity markets does not produce a risk adjusted performance superior to the US market. An explanation for this result is that...

The question of why firms exercise stock splits has inspired research for some time. Signalling and optimal trading range hypotheses are possible explanations for stock splits. This paper considers the sociological aspects of maintaining a stable target-price habit. It argues that one of the...

In this paper we examine the relationship between bond re-ratings and changes in systematic risk. Using both time series and cross-sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta....

This paper examines the return of the original class of common stock around the announcement of the creation of second class of stock. As in previous studies, this one finds a generally ambiguous market reaction on the first public announcement. However, this paper offers new evidence that both...

Small real estate rental firms in the United States tend to be employee-owner firms in which the landlord does maintenance and repairs as a part-time job rather than the principal-agent firms in which the landlord hires part-time workers. Applying work incentives theory to explain this...

This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was...