employ a recently developed multivariate matching approach (entropy balancing) to adjust for determinants in place of relying … on a linear model. Entropy balancing identifies weights for the control sample to equalize the distribution of … poor fit, we find that entropy balancing significantly improves accrual model specification by reducing coefficient bias …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …

performance of distressed stocks from 1981 to 2008. We find that distressed stocks have high stock return volatility and high … market betas and that they tend to underperform safe stocks by more at times of high market volatility and risk aversion …