The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the...

REIT dividend policies and dividend announcement effects during the 2008-2009 liquidity crisis are examined. Multinomial logit results indicate that REITs with higher market leverage or lower market-to-book ratios are more likely to cut dividends, suspend dividends, or pay elective stock...