Currently Browsing: The Journal of Real Estate Finance and Economics 2010

Changes in REIT Liquidity 1988–2007: Evidence from Daily Data

Susanne E. Cannon and Rebel A. Cole Online First™, 8 September 2010 Abstract In this study, we present panel-data evidence on REIT liquidity and its determinants over the 1988–2007 period. We focus upon liquidity measures that do not require micro-structure data (1) to facilitate use of our results as benchmarks for comparisons with results from international markets for which micro-structure data may be unavailable, (2) to provide benchmarks that do not require access to costly (and voluminous) micro-structure data. We find that REIT liquidity improved...
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Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets

Jian Yang, Yinggang Zhou and Wai Kin Leung Online First™, 8 September 2010 Abstract We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of...
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Minimum Service Requirements, Limited Brokers and Menuing of Services

Kimberly R. Goodwin, Ken H. Johnson and Leonard V. Zumpano Online First™, 24 August 2010 Abstract In the past few years, many states have responded to the increasing number of limited service brokers by passing minimum service requirements. Limited service brokers can be viewed as those brokers who are offering their marketing and representative services A La Carte as opposed to the more traditional full-services brokers offering of a Table D’hôte (one size fits all) for their services. Supporters claim the legislation is necessary to protect consumers who...
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Earnings Conference Call Content and Stock Price: The Case of REITs

James S. Doran, David R. Peterson and S. McKay Price Online First™, 17 August 2010 Abstract Using computer based content analysis, we quantify the linguistic tone of quarterly earnings conference calls for publicly traded Real Estate Investment Trusts (REITs). After controlling for the earnings announcement, we examine the relation between conference call tone and the contemporaneous stock price reaction. We find that the tone of the conference call dialogue has significant explanatory power for the abnormal returns at and immediately following quarterly...
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Financial Opacity and Firm Performance: The Readability of REIT Annual Reports

Stephen J. Dempsey, David M. Harrison, Kimberly F. Luchtenberg and Michael J. Seiler Online First™, 3 August 2010 Abstract We examine the capital market pricing implications of firm disclosure opacity as measured by the linguistic readability of REIT annual reports. The SEC has expressed concern that firms selectively manage the transparency of disclosures in order to hide adverse information. After controlling for other non-experimental factors that influence the readability of REIT financial statements, we find (1) financial opacity is negatively related...
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Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance

Ming-Chi Chen, Chi-Lu Peng, So-De Shyu and Jhih-Hong Zeng Online First™, 3 August 2010 Abstract This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in monetary policy at different EREIT return ranges in different market states. During bull markets, changes in monetary policy have a significant negative impact on EREIT when...
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Delegating Eminent Domain Powers to Private Firms: Land Use and Efficiency Implications

Geoffrey K. Turnbull Online First™, 3 August 2010 Abstract Many private common carriers or regulated utilities have eminent domain powers in the U.S. The rationale resembles that for local governments; lower cost of assembling land for long distance electric transmission, gas and oil products pipelines, etc. Recent court cases raise questions about whether eminent domain allows firms to use inefficiently long indirect land corridors, inefficiently wide corridors, or higher value land when lower value land is available as an alternative? Despite ...
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