Search results

US commercial property is an important investment opportunity for institutional investors. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of US commercial property (both direct property and REITs) in a mixed-asset portfolio over 1994-2016. The 2009-2016 post-GFC recovery of US commercial property is specifically highlighted.

Using quarterly total returns, the risk-adjusted performance and portfolio diversification benefits of US commercial property over 1994-2016 are assessed. Efficient frontier and asset allocation diagrams are used to assess the role of US commercial property in a mixed-asset portfolio. Sub-period analysis over 2009-2016 is used to assess the post-GFC recovery of US commercial property.

US commercial property delivered mixed results over 1994-2016; direct property gave the best risk-adjusted performance, while US-REITs performance was hampered by high volatility. Since the GFC, both forms of US commercial property have delivered stronger risk-adjusted returns with improved diversification benefits, especially in the context of an inter-property investment strategy. However, US-REITs did not improve their diversification benefits with the stock market over this period. This sees US commercial property as an important component in the US mixed-asset portfolio in the post-GFC environment, with a much stronger role exhibited by US direct property in the post-GFC mixed-asset portfolio.

US commercial property emerged from the GFC as a stronger and more robust property investment opportunity, with both the direct property and US-REITs fully recovered to their pre-GFC performance level in 2012. The results highlight the major role of US commercial property in a US mixed-asset portfolio in the post-GFC context. The superior risk-adjusted performance of US commercial property sees both direct and listed US commercial property contributing significantly to the mixed-asset portfolio throughout the entire risk-return spectrum, particularly direct property. Given the increased capital flows into the US property market since the GFC, this is particularly important as many investors, both local and international, use direct and listed property investment opportunities as conduits for their significant US commercial property exposure.

This paper is the first published empirical research analysis that specifically assessed the post-GFC performance and role of US commercial property in a mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision making by institutional investors regarding the strategic role of US commercial property in a mixed-asset portfolio in a post-GFC context.

The paper aims to investigate audit and non-audit fees during the global financial crisis (GFC) in an environment that is relatively sparsely regulated with regard to the provision of non-audit services.

Audit and non-audit fees were studied during pre-GFC (2006-2007), GFC (2008-2009) and post-GFC (2010-2011) periods.

During the GFC, Swedish companies benefited from an increase in sales and total assets, although return on assets decreased. In this setting, the auditors charged higher audit fees compared with the pre-GFC period, despite the absence of increased audit reporting lags. A significant increase in audit fees continued during the post-crisis periods with auditors paying more attention to companies’ leverage and whether they report losses. At the same time, the companies spent less on non-audit services.

This study is limited to companies from Sweden, which was less affected by the GFC.

GFC auditors are able to charge higher audit fees to public companies including those that are well-performing during financial crises, and they are also able to increase the audit fees in the post-crisis period. This implies that auditors put in extra audit effort to compensate for higher risk, or that they are good at negotiating prices with their clients. However, non-audit fees decreased during the same period, implying that the demand for these services drops under financial instability.

The study highlights auditors’ behavior in the liberal economic environment and it studies both audit fees and non-audit fees before GFC, during GFC and after the GFC. The GFC appears to have provided audit firms the opportunity to extract higher audit fees. Our findings are of interest to managers, auditors and regulators.

The purpose of this paper is to investigate how the 2007 global financial crisis (GFC) changed financial disclosure behavior using a sample of US equity real estate investment trusts (REITs) from 2000 to 2015.

The authors use panel data spanning from 2000 to 2015 to examine the impact of the GFC on REITs’ earnings management (EM) after controlling for other factors (including the market shock in 2007 and 2008). The measurements of EM are estimated by using the models developed from literature such as modified Jones models. The static panel data regression models are used to estimate the impact of GFC on the REITs’ EM.

The authors find that REITs are more likely to engage in income-increasing EM to embellish their financial reports during the GFC. However, the magnitude of the use of EM to manipulate disclosed financial information decreased following the GFC, indicating an improvement in the quality of financial disclosure as a consequence of the enhancement of the regulatory environment. REITs also changed the manner in which their EM behavior responded to the main factors in the market following the outbreak of GFC.

This study contributes to the finance and accounting literature by providing the first empirical test results concerning how the financial disclosure behavior and quality of listed portfolios and companies such as REITs have changed corresponding to the enhancement of the regulatory environment and adverse market conditions brought by GFC.

This study provides references for investors, auditors, and regulators to help them make adjustments for and improve the interpretation of the disclosed financial information.

This is one of the first empirical study testing the impact of the GFC on EM. It is also the first empirical study investigating the impact of GFC on the financial disclosure behavior of REITs.

This paper aims to provide a brief overview of the global financial crisis (GFC), highlighting its most frightening dimensions, the policy responses and issues around the management of labour during and post‐GFC. Further, this paper introduces the five research papers that encompass this special issue.

The papers presented here are early contributions on how the GFC has impacted the management of people. The key areas focused upon include the human resource management responses of multinational enterprises, the response of trade unions, the roles of employee representative bodies and the rationalisation of post‐crisis managerial strategies.

The major conclusions of this special issue are that the impact of the GFC was variable across countries and sectors in addition to the process of decision making, the types of decisions made, and the determinants and consequences of those decisions.

The papers of the special issue provide some of the first empirical findings on how the GFC has impacted on people management, trade unions and the HR function in different contexts.

REITs have taken on increased significance in Europe in recent years, with French REITs (Societe d'Investissement Immobilier Cotee (SIICs)) becoming an important property investment vehicle since 2003. The purpose of this paper is to assess the significance, risk‐adjusted performance and portfolio diversification benefits of SIICs in a mixed‐asset portfolio context in France over 2003‐2012. The impact of the global financial crisis (GFC) on SIICs and their post‐GFC recovery are also assessed.

Using monthly total returns, the risk‐adjusted performance and portfolio diversification benefits of SIICs over 2003‐2012 are assessed, with efficient frontiers and asset allocation diagrams used to assess the role of SIICs in a mixed‐asset portfolio. Sub‐period analyses are conducted to assess the impact of the GFC on SIIC performance, as well as their post‐GFC recovery.

SIICs delivered superior risk‐adjusted returns compared to stocks over 2003‐2012, but with limited portfolio diversification benefits with stocks and more portfolio diversification benefits with bonds. In the post‐GFC period, SIICs have delivered enhanced risk‐adjusted returns, but with no recovery in their portfolio diversification benefits with stocks. SIICs are seen to contribute significantly to the mixed‐asset portfolio across the risk spectrum in the post‐GFC period.

SIICs are a significant REIT market at the French, European and global REIT levels. The results highlight the role of SIICs in a French mixed‐asset portfolio. The strong risk‐adjusted performance has highlighted the robustness of SIICs; particularly compared to French stocks, and the contribution of SIICs in a French mixed‐asset portfolio across the portfolio risk spectrum. This contribution by SIICs has been further reinforced in the post‐GFC period.

This paper is the first published empirical research analysis of the risk‐adjusted performance of SIICs and the role of SIICs in a mixed‐asset portfolio. Given the increased significance of REITs in Europe, this research enables empirically validated, more informed and practical property investment decision‐making regarding the role of SIICs in a mixed‐asset portfolio; particularly in the post‐GFC period.

As an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real estate investment trusts (REITs) being regulated to become a property investment vehicle in 2007. This sees macro-environment investment in the Indonesian property market taking off to a higher level regionally. In the background, Indonesian listed PCs maintain as one of the major investment vehicles for local and international investors. It has also been the subject of investment for REITs and property investment funds in Indonesia. The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed.

Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs.

Listed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented.

The use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets.

Listed PCs have been under increasingly adjusted and positively adapted regulations from the Indonesian Government over the post-GFC period. Therefore, in order to attract interest from international investors in property investment in Indonesia, listed PCs need stronger and more efficiently adapted regulations to a competitive level of respective regulations in the region and globally. Notwithstanding the poor performance in the transitional stage, Indonesian listed PCs bring some diversification benefits to local investors who are able to pick the outperformed invested PCs at the right time. Of the on-going concerns, international investors have no restrictions on holding listed PCs in the Indonesian stock market. This provides room for improvement in business performance in listed PCs as a result of regional/global competition and international management being involved. The present study delivers awareness to investors, researchers as well as policymakers on the Indonesian property market.

This paper is the first published to present a country profile of significant property vehicles (commercial property, listed PCs and REITs). It also presents empirical research analysis of the risk-adjusted performance of listed PCs and its dynamic role in a local investors’ perspective across the pre-GFC, GFC, post-GFC periods. Given the significance of listed PCs in Asia, this research highlights more information for opportunities and on-going property investment issues in Indonesia.

The authors investigate the impact of governance on the leverage of East Asian firms in the financial crisis context, in order to understand the puzzle whether debt acts as a substitute for governance or an outcome of the governance mechanism.

The authors use 86,030 firm-years and the country-level governance data from eight East Asian countries over the period 1996–2017. The authors employ the fixed effects (FE) model, in the main analysis and the weighted least squares model, as a robustness check in order to compare the two competing hypotheses of agency theory, substitute and outcome models.

The authors’ results show that debt acts as a substitute for governance before the GFC, but during and after the GFC the picture changes. Namely, debt acts as an outcome of the governance mechanism during the GFC and its aftermath. Since during financial downturns both agency costs increase, and information asymmetry widens, firms in poor-governed countries may be reluctant to increase their leverage in order not to face financial distress and additional restrictions. Thus, the results imply that the use of debt as a tool to mitigate agency conflicts and a substitute for governance strongly depends on the environment that the firms operate and the general macroeconomic conditions, such as facing a financial crisis or not.

This study provides an interesting case of the firms' capacity to raise money during a crisis and that governance plays an important role in borrowing activities of firms. This will undoubtedly help motivating owners and policymakers for improving governance. The authors’ findings may be useful for policymakers to develop policies considering the adverse effects caused by exogenous shocks. This is crucial because the severity of GFC as a shock seems to change the macro and institutional environment that firms operate. While the authors properly address the research hypotheses using country governance data, future research may employ corporate governance data to attain firm-level results by testing two competing hypotheses.

There are several important areas where this study makes original contributions. First, while Tsoy and Heshmati (2019) focus on the dynamics of capital structure for only Korean firms, the authors extend the sample including eight East Asian countries considering the impact of country governance on capital structure policy. Specifically, this study is the first in using the robust country governance data, which differs by country and year, in the crisis context. Next, the authors investigate both the AFC and GFC to compare whether these two crises have different effects on capital structure policy of East Asian firms. Finally, the authors aim to understand whether leverage is used as a substitute for governance or an outcome of governance mechanism considering recessions.

The purpose if this paper is to examine the turn-of-the-month effect in the equity market of three major emerging countries – Brazil, India and China – from January 2000 to December 2017.

Ordinary least square regression analysis is used to examine the presence of the turn-of-the-month effect and to test the efficiency of the emerging stock markets. The characteristics of the returns during the turn-of-the-month days are compared with that of the non-turn-of-the-month trading days.

The average returns during turn-of-the-month days for all the considered emerging market indices are significantly higher than the non-turn-of-the-month days for the full sample. For the subsample analysis, the average returns for Brazil and India for pre-GFC period are higher on the turn-of-the-month days than on the non-turn-of-the-month days. However, the effect disappears in China during the GFC period. During the crisis period, the results show that the turn-of-the-month effect disappears in Brazil and India, whereas for China, the effect is significant. For the post-GFC period, the-turn-of-the-month effect reappears for all the countries.

The results have important implications for both traders and investors. The authors’ results indicate that the market participants can time the stock markets of these countries by taking long positions especially during the times when the turn-of-the-month effect is highly significant.

To the best of the authors’ knowledge, this paper is the first to study the turn-of-the-month effect, in the key emerging countries such as Brazil, China and India. Second, the authors divide the sample into three subperiods based on the 2008 GFC such as pre-GFC, GFC and post-GFC to understand the dynamic behavior of turn-of-the-month effect over time. Most importantly, the authors control for the day-of-the-week effect while examining the turn-of-the-month effect.

The purpose of this study is to examine the relative and the incremental value relevance of book value and earnings in the Australian market in the context of the 2008-2009 global financial crisis (GFC) and the non-crisis period (NCP).

Least square regressions are used to examine the research questions. Changes in the coefficient estimates and the relative explanatory power (adjusted R2) of book value (BV) and earnings between the GFC and the NCP are examined.

The findings suggest that both BV and earnings are value relevant in the Australian market surrounding the GFC. There were structural breaks in the association of BV and earnings with firms’ market value. The value relevance of earnings has increased and that of BV has decreased during the GFC compared to the NCP. During the study period, the explanatory power of earnings was greater than that of the BV.

The single country context examined limits the generalisability of the findings.

The importance of this study lies in its showing the sustained importance of earnings in security valuation even during a period of macroeconomic uncertainty. Australian accounting standards have been shaped by a balance sheet focus. The recent move towards the fair value-based International Financial Reporting Standards (IFRS) has further enhanced the focus on the balance sheet. Nevertheless, the evidence in the present study demonstrates that even for a country with a balance sheet focus, the value relevance of earnings increases during a GFC. Hence, it is the earnings number, rather than the balance sheet, which should receive greater attention from accounting regulators and auditors.

This is the first known study to examine the value relevance of fundamental accounting information, such as BV and earnings, in the context of the 2008-2009 GFC. It extends prior research in the context of the 1997 Asian financial crisis and provides evidence on the impact of a worldwide exogenous shock on the value relevance of BV and earnings from a relatively mature and developed country with different legal, institutional and enforcement backgrounds.

REITs have taken on increased significance in Asia in recent years, with Singapore REITs (S-REITs) becoming an important property investment vehicle since 2002. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of S-REITs in a mixed-asset portfolio context in Singapore over 2003-2013. The post-GFC recovery of S-REITs is also assessed.

Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of S-REITs over 2003-2013 is assessed, with efficient frontiers and asset allocation diagrams used to assess the role of S-REITs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of S-REITs.

S-REITs delivered strong risk-adjusted returns, being the best-performed asset class, but with little portfolio diversification benefit over 2003-2013. Whilst taking on reduced risk, but with less portfolio diversification benefits in recent years, S-REITs are seen to be robust relative to the other major Singapore asset classes; contributing significantly across the risk spectrum; particularly in the post-GFC period, where S-REITs have been the best-performed asset class in Singapore.

The results highlight the important strategic role of S-REITs in a Singapore mixed-asset portfolio. The strong risk-adjusted performance has highlighted the robustness of S-REITs, with S-REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum; particularly in the post-GFC period. This robustness highlights the ongoing strategic role of S-REITs in a Singapore mixed-asset portfolio, as well as the ongoing development of S-REITs as an important pan-Asia hub for REITs.

This paper is the first published empirical research analysis of the risk-adjusted performance of S-REITs and the role of S-REITs in a portfolio. Given the increased significance of REITs in Asia, this research enables empirically validated, more informed and practical property investment decision-making regarding the role of S-REITs in a mixed-asset portfolio and S-REIT performance in a post-GFC context.