We examine the return and volatility of the Standard & Poor's/Case--Shiller (S&P/CS) real estate indices for evidence of long memory in the form of fractional differencing. Examining the long memory properties of these indices is relevant, in part, because effectively hedging real estate price...

Using a large sample of monthly gross flows from 1997 to 2003, we uncover several previously undocumented regularities in investor behavior. First, investor purchases and sales produce fund-level gross flows that are highly persistent. Persistence in fund flows dominates performance as a...

This study analyzes the reactions of equity holders and bondholders to the announcement of 427 preferred stock issues. We document an average equity announcement effect of −0.65%. This reaction is positively influenced by a number of measures of firm creditworthiness and transparency and is...

The authors’ findings indicate that homebuilder financing affiliates do make loans to observably riskier borrowers, but the loans made by homebuilders have lower delinquency rates than those made by unaffiliated lenders, even when loan and borrower characteristics are held constant.

This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005–2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9–15% of currency jumps...