This study compares the valuation of REITs and non-REITs, using firm-level return and accounting data of 168 REITs and 3,215 industrial companies and the methodology of Vuolteenaho (2002) that separates variances driven by cash flow news and expected return news. The evidence shows that,...

The development and use of dynamic optimization model is extremely important in financial markets. The classical mean-variance portfolio model assumes the expected returns are known with perfect precision. In practice, however, it is extremely difficult to estimate precisely. While portfolios...

In this study, I introduce capital market imperfections into a structure framework of inventory investments and investigate impacts of trade credit on firms’ inventory dynamics and analyze the relationship between trade credit and bank loans. As a result, firms end up using a mix of trade...

This paper aims to assess the role of ambiguity in financial analyst forecast and associated abnormal stock returns. I present a model incorporating ambiguity aversion into a two-period Lucas tree model, which generates a lower price and higher required rate of returns compared with the model...

In this paper, I investigate the relationship between managerial annual earnings announcement delays and stock-return behavior surrounding their releases. The empirical results indicate that the pattern between announcement timing and stock returns persists. In particular, annual earnings...

This paper investigates the impact of trade credit on firm's inventory investment behavior by incorporating trade credit as a source of external finance into the traditional production smoothing inventory model. Due to imperfect information, alternative types of funds are not perfect substitutes...

This study tests firms' financing behavior, especially the causal relation between trade credit and bank credit around the time of the recent subprime financial crises. I find bank credit and accounts payable/receivable are simultaneously determined and there is a substitute/complementary effect...

Live cattle futures markets do not offer much opportunity for effective hedging of wholesale beef cuts. If a Choice-to-Select price spread futures contract were introduced this would enhance hedging effectiveness although likely not enough to encourage cross hedging. If a Choice boxed beef...