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1 – 10 of over 17000Chia-Wu Lu, Tsung-Kang Chen and Hsien-Hsing Liao
Real estate investment trust (REIT) stocks are well known for limited management discretion in investment, financing, and payout policies, implying little information asymmetry…
Abstract
Purpose
Real estate investment trust (REIT) stocks are well known for limited management discretion in investment, financing, and payout policies, implying little information asymmetry between informed and uninformed investors. Besides, due to the renowned illiquidity and complexity of physical real estate markets, investors may be heterogeneously informed. The authors aim to investigate these arguments using REIT panel data from 1993 to 2010.
Design/methodology/approach
The authors simultaneously investigate the effects of heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns by estimating panel data regressions controlling for both firm- and time-fixed effects.
Findings
The results confirm that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns while information asymmetry (ADJPIN) is insignificant when controlling for other variables well known for affecting REIT excess returns.
Originality/value
The effects of information asymmetry (ADJPIN) and heterogeneous information (PSOS) on REITs excess returns are rarely simultaneously discussed in the related literature, especially from the perspectives of limited managerial discretions, regulated dividend policy, and underlying asset liquidity (physical real estate markets). The results confirm the heterogeneous information arguments. Besides, the heterogeneous information (PSOS) effects become stronger when leverage and dividend yield are higher. Finally, the above effects of PSOS and ADJPIN on REIT excess returns are also robust during the real estate market growth period (2001-2008).
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David Burnie and Adri De Ridder
Using a unique dataset of ownership structure for all stocks listed on the Stockholm Stock Exchange in Sweden, we examine different degrees of institutional holdings in Swedish…
Abstract
Using a unique dataset of ownership structure for all stocks listed on the Stockholm Stock Exchange in Sweden, we examine different degrees of institutional holdings in Swedish firms during the bear market of 2000 to 2002. We find that examination by institutional investor domicile reveals that both Swedish and foreign institutions increase their equity holdings, although the increase by foreign institutions is proportionately higher, (individuals reduce their equity holdings). We find evidence that foreign and domestic institutional investors exhibit different preferences for excess returns and standard deviations in excess returns when we control for firm size; excess return is associated with changes in foreign institutional holdings while higher standard deviation in excess return is associated with the change in domestic institutional holdings. Both types of institutions are sensitive to liquidity and trading factors, causing portfolio realignment.
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Kim Hiang Liow, Muhammad Faishal Ibrahim and Qiong Huang
The purpose of this paper is to provide an analysis of the relationship between expected risk premia on property stocks and some major macroeconomic risk factors as reflected in…
Abstract
Purpose
The purpose of this paper is to provide an analysis of the relationship between expected risk premia on property stocks and some major macroeconomic risk factors as reflected in the general business and financial conditions
Design/methodology/approach
Employs a three‐step estimation strategy (principal component analysis, GARCH (1,1) and GMM) to model the macroeconomic risk variables (GDP growth, INDP growth, unexpected inflation, money supply, interest rate and exchange rate) and relate them to the first and second moments on property stock excess returns of four major markets, namely, Singapore, Hong Kong, Japan and the UK. Macroeconomic risk is measured by the conditional volatility of macroeconomic variables.
Findings
The expected risk premia and the conditional volatilities of the risk premia on property stocks are time‐varying and dynamically linked to the conditional volatilities of the macroeconomic risk factors. However there are some disparities in the significance, as well as direction of impact in the macroeconomic risk factors across the property stock markets. Consequently there are opportunities for risk diversification in international property stock markets.
Originality/value
Results help international investors and portfolio managers deepen their understanding of the risk‐return relationship, pricing of macroeconomic risk as well as diversification implications in major Asia‐Pacific and UK property stock markets. Additionally, policy makers may play a role in influencing the expected risk premia and volatility on property stock markets through the use of macroeconomic policy.
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The purpose of this paper is to examine long‐term return of new China collectible stamps after their issuance and how stamp characteristics affect the return.
Abstract
Purpose
The purpose of this paper is to examine long‐term return of new China collectible stamps after their issuance and how stamp characteristics affect the return.
Design/methodology/approach
The authors construct a model to analyze the determinants of stamps' long‐term return and test their hypotheses empirically in a sample of 1,201 sets of Chinese collectible stamps issued between 1949 and 2008.
Findings
The paper finds Chinese stamps provide decent returns for collectors in terms of exceeding comparable one‐year savings rates. Among factors affecting annual excess returns of Chinese stamps, variables related to usage are the most important; quantity issued has significantly negative impact on returns of early stamps, but its coefficient has weak economic implications and it is not significant for BianNian stamps issued in more recent years. In general, variables related to topic have weak influence on stamp returns, but the topics about the most significant events of China in recent years have huge impact on stamp returns; in addition, variables related to design and printing can influence stamp returns to some extent.
Research limitations/implications
Overall, the results reveal that variables related to usage are the most important determinants of long‐term stamp return.
Practical implications
There have been fierce disputes among stamp collectors about how stamp features affect returns. Nevertheless, no systematic empirical studies exist about the issue. This paper sheds light on the disputes by providing the first piece of empirical evidence.
Originality/value
Moreover, existing studies of stamps treat them as one asset, but often ignore different characteristics within the group. This paper systematically investigates the influence of stamp characteristics to stamp return, and thus fills the caveat in the literature.
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This paper aims to address the question: What is the distribution of value (in pounds) created in a sample of domestic takeovers in the United Kingdom from 2013 to 2020 among…
Abstract
Purpose
This paper aims to address the question: What is the distribution of value (in pounds) created in a sample of domestic takeovers in the United Kingdom from 2013 to 2020 among acquirer and target stockholders?
Design/methodology/approach
The author employs a traditional event study methodology to calculate the percentage excess returns of companies on the announcement date. These returns are then converted into pound-denominated excess returns using the companies' market capitalizations. This allows the author to estimate the synergies of the mergers and acquisitions (M&As) and how they are allocated between acquirers and targets. This innovative transformation from percentage to pound excess returns establishes a new ratio methodology for addressing the paper's objective.
Findings
This paper reveals that in UK takeovers, 40 percent of the synergies in pounds are allocated to the stockholders of acquiring companies, while 60 percent go to the stockholders of target companies. In other words, acquirers retain a significant portion—more than half—of the synergies generated in these domestic deals. This original finding is statistically significant at the one percent level and strongly contradicts the hypothesis that acquirers, at best, merely break even.
Originality/value
The evidence that UK takeovers distribute value gains nearly equally between domestic deal parties challenges the enduring conventional insight in the M&A literature. This conventional wisdom suggests that the value created by business combinations is entirely distributed to target company stockholders. Consequently, this reexamination may have broader implications, offering an alternative perspective on the motives behind business combinations. This perspective differs from the “managerial hubris hypothesis,” which aligns with the prevailing conventional insight but receives limited support in the original finding reported here.
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Roland Füss, Johannes Richt and Matthias Thomas
The purpose of this paper is to examine the sources of direct real estate portfolio returns and their relative performance against Investment Property Databank (IPD) benchmark…
Abstract
Purpose
The purpose of this paper is to examine the sources of direct real estate portfolio returns and their relative performance against Investment Property Databank (IPD) benchmark returns. Active property management consists of the concepts of property transaction execution and operational management, which can be classified as the main drivers of excess return sources.
Design/methodology/approach
Using a sample of three different portfolios managed by two institutional investors, the paper is able to estimate the relevant factors of active property management on annual excess returns for commercial and residential property sectors via a panel regression technique.
Findings
Empirical evidence shows that property‐specific effects exhibit significant sources of excess returns, but property management cannot be identified as their main driver. Furthermore, the sources of excess returns do not differ significantly across sectors; when controlled for property age and size, it is found that their influence is rather limited.
Practical implications
Information about the drivers of excess returns and their variations among property types may lead to superior investment decisions during portfolio rebalancing, and thus promote more efficient capital allocation. Information about return factors, i.e. about property and operational management, can substantially improve property selection and market timing in the asset allocation process. Hence, investors basing their property investment strategies on the impact of selected return factors could enhance the risk‐adjusted performance of their property portfolios.
Originality/value
This paper aims to contribute to the existing literature by identifying and quantifying the excess return sources of a given property portfolio over a predefined benchmark. Due to the lack of property‐related data, there is only limited research on the sources of direct property returns, such as property characteristics or active property management. The authors explore three main questions in this paper. First, they examine sources of excess returns over a benchmark index for several property sectors. Second, they analyze whether the drivers of excess returns vary significantly across these sectors. Third, they determine to what extent excess property returns are influenced by the “economic age” and “rentable area” of a building.
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Kathleen A. Farrell, Gordon V. Karels, Kenneth W. Montfort and Christine A. McClatchey
An interesting issue little explored in the celebrity endorsement literature is whether or not the activities of a celebrity endorser affect company performance. We examine the…
Abstract
An interesting issue little explored in the celebrity endorsement literature is whether or not the activities of a celebrity endorser affect company performance. We examine the impact of Tiger Woods’s tournament performance on the endorsing firm’s value subsequent to the contract signing. We do not find a relationship between Tiger’ss tournament placement and the excess returns of Fortune Brands (parent of Titleist). This is likely due to Titleist being a very small contributor to the total market value of Fortune Brands. We also fail to find a significant relationship for American Express suggesting the market does not view a golfer endorsing financial services as credible. We do, however, find a positive and significant impact of Tiger’s performance on Nike’s excess returns suggesting that the market values the additional publicity that Nike receives when Tiger is in contention to win.
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Ashraf M. Noumir, Michael R. Langemeier and Mindy L. Mallory
The average U.S. farm size has risen dramatically over the last three decades. Motives for this trend are the subject of a large body of literature. This study incorporates farm…
Abstract
Purpose
The average U.S. farm size has risen dramatically over the last three decades. Motives for this trend are the subject of a large body of literature. This study incorporates farm size risk and return analysis into this research stream. In this paper, cross-sectional and temporal relations between farm size and returns are examined and characterized.
Design/methodology/approach
Relying on farm level panel data from Kansas Farm Management Association (KFMA) for 140 farms from 1996 to 2018, this article examines the relationship between farm size and returns and investigates whether farm size is related to risk. Two measures of farm returns are used: excess return on equity and risk-adjusted return on equity. Value of farm production and total farm acres are used as measures of farm size.
Findings
Findings suggest a significant and positive relationship between farm size and excess return on equity as well as farm size and risk-adjusted return on equity. However, this return premium associated with farm size is not associated with additional risk. Stated differently, farm size can be viewed as a farm characteristic that is associated with higher return without additional risk.
Practical implications
These findings provide further support for ongoing farm consolidation.
Originality/value
The results suggest the trend towards consolidation in production agriculture is likely to continue. Larger farms bear less risk.
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The purpose of this study is to determine whether Latin American ADRs provided US investors with international diversification benefits as determined by comparing excess returns…
Abstract
Purpose
The purpose of this study is to determine whether Latin American ADRs provided US investors with international diversification benefits as determined by comparing excess returns from issues listed in the 1990s to those listed in the 2000s. A further sample breakdown compares IPO returns to SEO returns.
Design/methodology/approach
Standard ADR return methodology used in many previous studies is utilized to compute and test excess returns. This methodology is the same as the standard methodology used in IPO studies.
Findings
The total Latin American ADR sample returned roughly the same as the S & P 500 index for the three year holding period; however, those issued before 2000 underperformed the index by nearly 19 percent while those listed after January 1, 2000 outperformed the index by nearly 58 percent. The excess returns of IPOs were nearly 50 percent less than SEOs when compared to the index. Also, both IPOs and SEOs listed after the new millennium began drastically outperformed those listed in the 1990s (when compared to the S & P 500 index).
Originality/value
This study differs from previous studies by emphasizing differences in return behaviour for Latin American ADRs listed during a decade of steady sustained growth (the 1990s) versus those listed in the 2000s when the US stock market encountered times of extreme return volatility. The implications of the return differences help determine whether these ADRs provided investors with true diversification benefits. Also, the dataset includes fresh results for ADRs listed during and trading through the mortgage crisis of 2008.
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Fanglin Shen, Quantong Guo, Hongyan Liang and Zilong Liu
The purpose of this paper is to investigate the relationship between investors' divergence of opinions and the asset prices of foreign stocks and also examine the effect of home…
Abstract
Purpose
The purpose of this paper is to investigate the relationship between investors' divergence of opinions and the asset prices of foreign stocks and also examine the effect of home market country-level factors on the influence of divergency of opinions on stock price.
Design/methodology/approach
The authors employ panel data estimation with fixed effects to examine the host market response in divergent opinions to the earnings announcements. The paper uses the American Depositary Receipts (ADRs) of 42 countries from 1985 to 2011.
Findings
The authors find a negative relationship between differences of opinions and excess quarterly earnings announcement returns, and investors do process information asymmetrically based on good and bad earnings shocks. In addition, the authors find the negative relationship between divergent opinions and excess earnings announcement returns in ADRs is more pronounced in countries with short-sales restrictions, while other home-market country-level factors – the enforcement of insider trading law, legal origin, investor protection and rating on accounting standard – do not influence the relationship between investors' divergency of opinion and stock returns.
Originality/value
This paper is among the first to bring asymmetric effects on convergence in Miller framework and enhance the understanding of price convergence documented in Miller (1977). In addition, this study incorporates home-market country-level factors in explaining the relationship between investors' divergency of opinions and stock returns.
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