This paper investigates the effects of European monetary integration on the behavior of stock returns in European real estate companies from the perspective of a dollar-denominated investor. A range of statistical tests is applied to assess changes in segmentation, co-movement and causality. The...

The advent of index tracking early in the 1970s and the continuous growth of assets tied to the S&P 500 index have enforced perceptions of the importance of becoming an index-member, due to increased demand by index fund participants for the stocks involved in index composition changes. This...

This study examines the abnormal returns, trading activity and long term performance of stocks that were added to the S&P 500 Index during the period 1990 to 2002. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to...

One of the most vexing issues for analysts and managers of property companies across Europe has been the existence and persistence of deviations of Net Asset Values of property companies from their market capitalisation. The issue has clear links to similar discounts and premiums in closed-end...

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer...

This paper introduces the ways of estimating the cost of capital. It briefly reviews the main theories of capital structure before explaining how the use of fixed‐interest debt finance might affect the cost of capital. It then considers ways of estimating the cost of equity and finally brings...

This study focuses on S&P500 inclusions and deletions, examining the impact of potential overnight price adjustment after the announcement of an S&P500 index change. We find evidence of a significant overnight price change that diminishes the returns available to speculators although there are...