This paper examines how deviations from expected optimal cash holdings affect future stock returns in the real estate investment trust (REIT) industry. Our findings indicate that REIT managers elect to hold less cash to reduce the agency problems of cash flow, supporting the pecking order theory...

This paper uses the Markov Switching VAR model to examine the dynamics relationships between stock returns and housing returns in the US covering the periods from 1987 to 2017. The results show significant regime-dependent auto-correlations in stock and housing returns in both the high...

This paper provides a non-information-based explanation to the stock price synchronicity for firms sorted by the country, size-decile and industry sector. Using a panel of listed firms in 40 countries spanning over 23 years, we find that the governance and the market size effects are highly...