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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Do we need non-linear models to predict REIT returns?
Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - 2013
We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...
Persistent link: https://www.econbiz.de/10010206925
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Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts
Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021
, multiple total stock return measures distinguishing dividend payouts from simple stock returns. Results suggest that both … explicit and implicit risks are positively related to dividend payouts and not to stock returns, while the overall effect on … exposure and, probably as a consequence, boards in carbon intensive companies use dividend policies to attract investment in …
Persistent link: https://www.econbiz.de/10012694482
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Profit persistence and stock returns
Gschwandtner, Adelina; Hauser, Michael A. - 2013
This paper attempts to assemble evidence for the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns. We show that long-run profit persistence together with...
Persistent link: https://www.econbiz.de/10010210263
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Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability
Jank, Stephan - 2012
-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such … changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio … predictability ; dividend-price ratio ; payout policy ; sample selection ; choice of organizational structure …
Persistent link: https://www.econbiz.de/10009663676
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Does joining the S&P 500 index hurt firms?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
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Dividend momentum and stock return predictability : a Bayesian approach
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021
empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is … not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …
Persistent link: https://www.econbiz.de/10012663774
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Dividend taxes and share prices : evidence from real estate investment trusts
Gentry, William M.; Kemsley, Deen; Mayer, Christopher J. - 2001
Persistent link: https://www.econbiz.de/10001611977
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Keeping up with the Joneses and the real effects of S&P 500 inclusion
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2021
Firms added to the S&P 500 index join a prestigious and exclusive club. They want to fit in the club, which creates a “keeping up with the Joneses” effect. Firms pay more attention to their index peers after inclusion and their investment, external financing, and payouts comove more with...
Persistent link: https://www.econbiz.de/10012584272
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Why are REITs currently so expensive?
Nieuwerburgh, Stijn van - 2017
Persistent link: https://www.econbiz.de/10011739511