Finance and Financial Management Commons^™

Three Essays On Political Contributions And Firm Performance, Ankita Damani

Finance and Real Estate Dissertations

The interaction of politics with financial markets and the macroeconomy has received increasing attention in recent years. Extant literature identifies the significant impact of political connections on firm value. However, several questions in this area remain unanswered. My dissertation consists of three essays. In the first essay, I examine the impact of economic policy uncertainty (EPU) on total campaign contributions and the relative contributions to Republicans and Democrats. I find that the total Political Action Committee (PAC) contributions by firms increase following an increase in EPU. This is also true for the contributions to each major political party, i.e., Republicans …

Does Geographic Focus Reduce Systematic Risk In Hotel Reits?, Brigitte Silvia Frutig, Prashant Das

Journal of Hospitality Financial Management

This paper examines how the systematic risk of large commercial real estate owners is associated with geographic diversification. It analyzed time-varying equity betas and geographic exposure of publicly traded pure-play lodging REITs. Contrary to popular expectation, results of this study showed that stock investors perceive smaller risk in geographic focus rather than diversification. Further, regional focus becomes insignificant in reducing the risk if the focus expands beyond two or three regions. The findings were robust to multiple measures of geographic diversification. As such, the study reaffirmed the impact of geographic focus in the context of commercial real estate as a …

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Eva Steiner

The impact of stock market index membership on REIT stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.

Fundamental Drivers Of Dependence In Reit Returns, Jamie Alcock, Eva Steiner

Eva Steiner

We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic risk of REITs and their asymmetric risk in the sense of a disproportionate likelihood of joint negative return clusters between REITs and the stock market. We find that REITs with low systematic risk are typically small, with low short-term momentum, low turnover, high growth opportunities and strong long-term momentum. Holding systematic risk constant, the main driving forces of asymmetric risk are leverage and, to some extent, short-term momentum. Specifically, we …

The Consequences Of Reit Index Membership For Return Patterns, Andrey Pavlov, Eva Steiner, Susan Wachter

Eva Steiner

We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock returns and …

Study Of Reit Etf Beta, Stoyu Ivanov

Faculty Publications

PurposeThe aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for the existence of the “asymmetric beta puzzle” phenomenon in these financial instruments that are relatively new and are gaining popularity. The “asymmetric beta puzzle” phenomenon is used to identify the hedging and diversification benefits of a financial instrument. “Asymmetric beta puzzle” exists when betas in declining markets are higher than betas in advancing markets.Design/methodology/approachTo study 14 REIT ETFs by using monthly and daily Center for Research in Security Prices (CRSP) data. Capital asset pricing model (CAPM) and Fama–French three-factor model were …

The Interrelationships Between Reit Capital Structure And Investment, Jamie Alcock, Eva Steiner

Eva Steiner

Network Connections In Reit Markets, George D. Cashman, Stuart L. Gillan, David M. Harrison, Ryan J. Whitby

Finance Faculty Research and Publications

Relationships play a central role across the spectrum of real estate transactions. Whether negotiating prices, securing funding, or acquiring permits, knowing the right people provides multiple channels to facilitate deal making. To better understand the role of relationships in real estate markets, we examine how the connectedness of REIT directors is associated with deal making, growth, and profitability. We find strong evidence that REIT connections are positively associated with both deal making and accounting based measures of profitability, however, those relations do not translate into better market returns or higher valuations. One explanation of these somewhat contradictory results is that …

Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David K. C. Lee, Alan Cheong, Kok Fai Phoon, Karol Wee

Research Collection Lee Kong Chian School Of Business

The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper …

Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David K. C. Lee, Alan Cheong, Kok Fai Phoon, Karol Wee

David LEE Kuo Chuen

The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper …

Advisor Choice In Asia-Pacific Property Markets, George D. Cashman, David M. Harrison, Michael J. Seiler

Finance Faculty Research and Publications

This paper examines advisor choice decisions by publicly traded REITs and listed property companies in Asia-Pacific real estate markets. Using a sample of 168 firms, we find robust evidence that firms strategically evaluate and compare the increased agency costs associated with external advisement against the potential benefits associated with collocating decision rights with location specific soft information. Our empirical results reveal real estate companies tend to hire external advisors when they invest in countries: 1) that are more economically and politically unstable, 2) whose legal system is based on civil law, 3) where the level of corruption is perceived to …

Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance, Jamie Alcock, Eva Steiner

Eva Steiner

Reits And Stock Market Cointegration, Jessie E. Felix

Open Access Theses & Dissertations

Real Estate is popular among investors looking for attractive total returns, predictable price movements, and low correlations to the general equity markets. The financial crisis of 2007 led by real estate mortgage defaults led to a universal bear market, and a credit freeze which impacted REITs ability to raise capital. REITs long viewed perception as a distinct asset class was questioned as a result. Research analyzing REITs long run trends find evidence of an existing long run relationship between REITs, and the S&P. This paper employs the same cointegration framework of prior studies using a longer sample period, and favors …

Interest Rate Sensitivities Of Externally And Internally Managed Australian Reits, Jaime L. Yong, Abhay Singh

Research outputs 2013

Real Estate Investment Trusts (REITs) in Australia experienced tremendous growth and investor interest following the crash of unlisted property funds in the 1990s. Since 2001, management structures have shifted from external property management to an internally advised model. The sector’s returns had been notably rewarding up till the Global Financial Crisis but rising costs of debt and years of aggressive borrowing to fund expansions have eroded the values of REITs. Externally managed trusts had relatively higher levels of debt than their internally managed counterparts thus increasing the sensitivities to interest rate risks. Yet internally managed REITs engage in a wider …

Intraday Reit Liquidity, William Bertin, Paul Kofman, David Michayluk, Laurie Prather

Laurie Prather

This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of investments if illiquidity is priced. The findings reveal intraday patterns indicating lower liquidity for REITs than for common stocks when the liquidity measure is friction-based. In contrast, activity measures exhibit higher liquidity levels for REITs than for common stocks but this difference is only statistically significant at the beginning of the trading day. The findings also indicate that the …

Three Essays On Real Estate Investment Trusts, Yan Lin

Theses and Dissertations in Business Administration

This dissertation includes three essays that study on Real Estate Investment Trusts (REITs). The first essay examines the shape of market demand curve by employing REIT equity fund flows as a proxy for REIT aggregate demand. An empirical framework is introduced to disentangle the price-pressure effect and the information effect. We do not find evidence for the price-pressure effect, which states that REIT equity fund flows directly affect REIT market prices. Instead, we find that the performance of REIT market prices does influence REIT equity fund flows. The results indicate that investors adjust their demand for REITs by investigating and …