This study investigates Real Estate Investment Trusts' momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that...

The question as to whether hostility is economically wasteful has been subject to intense debate for decades in the literature of law, economics, and finance. Typically the debate is focused in the issue of managerial entrenchment. Commentators frequently adopt an unstated presumption that...

We investigate post acquisition changes in risk characteristics as well as share and operating performance of U.S. firms involved in mergers that are paid for by stock, cash, and cash tender offers during 1975 to 1996. Our findings indicate that mergers, especially in conjunction with cash...

We examine and test the merits of diversifying portfolios of real estate securities internationally and across property types. Our analysis covers the period January 1990 through July 2005. Using data from the Global Property Research GRP 250 Property Securities Index, which has monthly prices...

REITs are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides an excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was...

Contrary to the Fisherian theory of interest, previous studies document a negative relationship between REIT (Real Estate Investment Trust) returns and inflation. In this research, we reexamine this perverse inflation behavior by testing for the causal relationships among REIT returns, real...

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...

We test whether the conversion price (ratio) is viewed by the stock market as a credible signal of the firm's future earnings prospects (Kim, 1990) and subsequently whether convertible debt serves as backdoor equity financing (Stein, 1992). Examining the conversion price in relation to current...

Prior research indicates that there are gains from real estate asset restructurings (see Glascock, Davidson and Sirmans [1989], Owers and Rogers [1986], and Elayan and Young [1993]). Researchers in these studies use the ordinary least squares market model to estimate expected returns, thus...

In this research, we examine and present new evidence on the market activity following the Initial Public Offering (IPO) of a Real Estate Investment Trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end...