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Articles 91 - 120 of 142

Full-Text Articles in Real Estate

Cointegration, Causality And Price Discovery In The Nafta Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of Us Markets, Aamir Khan Jan 2014

Cointegration, Causality And Price Discovery In The Nafta Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of Us Markets, Aamir Khan

Finance and Real Estate Dissertations - Archive

This dissertation examines the long-run linkage among the equity markets and sectors of the NAFTA economies by employing Cointegration and Vector Error Correction Model (VECM) framework. In addition, I also seek to identify the short-run & long-run causality and the direction of adjustment factor among the sectors of the US, Canadian and Mexican markets. Furthermore, I develop a multivariate model to examine the long-run impact of exchange rates on the linkage among the NAFTA markets & sectors. In addition, I also investigate the impact of US trade flow on the causal relationship it has with that of the Canadian & …

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Words Worth Price And Value, Tom Dunne Jan 2014

Words Worth Price And Value, Tom Dunne

Articles

TOM DUNNE explains the terms used in relation to the valuation of property, and the need for common understanding among all parties using those terms. -

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Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan Jan 2014

Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan

Honors Theses and Capstones

This study provides an overview of real estate investment performance over a 1983-2012 time period. The results show that although equity REITs outperformed all other assets on average annual return, on a risk-adjusted basis both private retail and apartment real estate outperformed all other assets. The study also found a recent trend in increased correlation between common stocks and REITs.

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Investor Overconfidence And Option Trading, Han-Sheng Chen Jan 2013

Investor Overconfidence And Option Trading, Han-Sheng Chen

Finance and Real Estate Dissertations - Archive

This study examines investor overconfidence theory in the options market. The theory suggests that investors who experience high returns become overconfident in their security valuation and trading skills, and therefore trade more often, even when the high returns are market wide. Given stock investors often trade in both stock and options market, I hypothesize similar patterns could be found in the options market as well. Controlling for market volatility and stock idiosyncratic risk, past market return is positively correlated with option trading turnover. In addition, past positive market return leads to higher call option turnover ratio and higher call-to-put ratio. …

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Algorithmic Trading And Changes In Firms Equity Capital, Ekkehart Boehmer, Kingsley Fong, Julie Wu Nov 2012

Algorithmic Trading And Changes In Firms Equity Capital, Ekkehart Boehmer, Kingsley Fong, Julie Wu

Research Collection Lee Kong Chian School Of Business

We use a large sample from 2001 to 2009 that incorporates intraday transactions data from 39 exchanges and an average of 12,800 different common stocks to assess the effect of algorithmic trading (AT) on firms’ capital raising activities. Greater AT reduces net equity issues over the next year, but this is only partly driven by AT’s effect on proceeds from new securities issues. Our findings suggest that the main driver of this relationship is AT’s effect on share repurchases.

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F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D. Apr 2012

F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D.

MBA Faculty Conference Papers & Journal Articles

Institutes of higher education exist for the purpose of developing, fostering, nurturing, and stimulating the intellectual growth and development of students. The core values of a college education provide students conceptual and practical educational opportunities that focus on improving their skills and knowledge. These skills and knowledge translate into purposeful, real-life learning experiences. However, in the academic community, learning is not restricted to students. Faculty, too, must be supported and provided opportunities for personal and professional growth and development. Although professional development is not a novel concept in the education profession, schools often take up the gauntlet, but fall short …

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Analysis Of The Real Estate Investment Trust (Reit) Industry, Frederic Juillet Feb 2012

Analysis Of The Real Estate Investment Trust (Reit) Industry, Frederic Juillet

MBA Student Scholarship

In 2009, most REITs opted for the recapitalization of their balance sheets in order to respond to the recent global credit crisis, thus reducing their leverage and strengthening their financial statements (REIT, 2011b). In 2011, the REIT industry represented $54.3 billion in revenue and a profit of $7.8 billion. The industry annual growth expectation for the next 5 years (from 2011 to 2016) is 5.1% or $69.7 billion (IBISWorld, 2011b). The Hotel & Motel industry counted 14 REITs in the lodging/resort sector in the U.S. (REIT, 2011c) and represented 10.5% of the equity REIT Industry (IBISWorld, 2011b). The REIT structure …

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Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse Jan 2012

Comparing Market-Based And Financial Statement-Based Stock Valuation Models: Implications For Growth Expectations And Differences Across Time Periods, Jacqualyn Ann Fouse

Finance and Real Estate Dissertations - Archive

The value of a share of common stock in a publicly-listed company should be equal to the present value of the future cash flows the company is forecast to produce, andultimately pay out to its stockholders. Expectations for these flows may incorporate information that goes beyond current earnings discounted into perpetuity as per the Dividend Discount Model (DDM). By comparing a market-based valuation model with a financial statement-based valuation model this paper seeks to find evidence of information embedded in market valuations that may not be captured in financial statement-based valuations. The analysis endeavors first to identify a component of …

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Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury Jan 2012

Essays On Option Market Information Content, Market Segmentation And Fear, Mishuk Anwar Chowdhury

Finance and Real Estate Dissertations - Archive

This dissertation consists of three essays. The first essay tests whether stock returns can be predicted using divergence from put-call parity. Using a robust methodology that controls for the early exercise premium of American put and call options, the study shows that stocks with upside divergence from put-call parity outperform stocks with downside divergence from put-call parity. Predictability is persistent over multiple holding periods and divergence is also predictive of tail events. The second essay examines segmentation of equity and option markets in the presence of information asymmetry. The study uses the slope of the implied volatility skew as a …

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Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy Jan 2012

Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets, Arun Prasath Narayanasamy

Finance and Real Estate Dissertations - Archive

Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is modeled as a function of own past innovations and own past conditional variances and fails to include lagged conditional variances from other assets. In this dissertation, for a bivariate set up, I estimate the conditional variance of the second country either as a GARCH (1, 1) or DCC (1, 1) type process. Using the estimated conditional variances, the non-linear or threshold parameter is computed by maximizing the log likelihood …

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Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo Jan 2012

Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration, Yongho Seo

Finance and Real Estate Dissertations - Archive

It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong enough, then ignoring this phenomenon calls into question studies that rely on comparing beta values. The most notable of these studies is the classification of stocks as "aggressive" or "defensive". I show that such a categorization varies substantially when comparing betas estimated using monthly data versus annual data. Contrary to other studies, betas do not vary monotonically as data scale …

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Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar Jan 2012

Penny Stocks, Market Microstructure, And Analyst Forecasts, Julio AndréS Rivas-Aguilar

Finance and Real Estate Dissertations - Archive

The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts outperform the ones with more optimistic outlooks. Value stocks also tend to outperform glamour stocks. I also found that previous earnings are the dominating factor in determining subsequent returns. The second essay deals with the Bid-Ask Spread (BAS) behavior of penny stocks throughout trading sessions. I ran the analysis by using different days of the week, months of the year, and analyst coverage. Finally, I regressed the minute-to-minute …

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Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios, N. Alper Gormus Jan 2012

Causality And Volatility Spillover Effects On Sub-Sector Energy Portfolios, N. Alper Gormus

Finance and Real Estate Dissertations - Archive

During a time of extensive crises related to energy sources, in particular fossil fuels, IPOs for alternative energy-related companies are a common occurrence. As new industries are created or old ones are revised, investors, who constantly are trying to update their portfolios for hedging their risk, face new challenges. The purpose of this study is to aid investors in market anticipation, forecasting, and portfolio diversification through shedding some light on the inner dynamics of the select asset markets versus sector-specific energy companies. Although energy companies related to fossil fuels such as oil, coal, and natural gas are previously studied, alternative …

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Does The Reit Tale Wag The Dog? The Relationship Between Tenant Ownership And The Volatility Of Retail Reit Stock Returns, Dana G. Staley Jan 2012

Does The Reit Tale Wag The Dog? The Relationship Between Tenant Ownership And The Volatility Of Retail Reit Stock Returns, Dana G. Staley

CMC Senior Theses

This paper will assess the relationship between tenant characteristics and public REIT volatility. Specifically, we focus on the retail REIT subset of the industry. Given that retail REITs are one the most transparent asset classes, they provide an interesting landscape for evaluating the relationship between the firm and the customers, or in this case, the tenants. Specifically, we assess how major tenant ownership, public or private equity owned, impacts the volatility of the REIT’s stock price using 2010 data on 30 retail REITs. Controlling for tenant credit quality, leverage, ROE, book-to-market, size, age, region and property focus, we find that …

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Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani Jan 2012

Three Essays On Market Anomalies And Efficient Market Hypothesis, Ehab Yamani

Finance and Real Estate Dissertations - Archive

This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. I use VAR to break the investment beta into fundamental beta reflecting news about the future marginal productivity of investment, and financial beta reflecting news about discount rates. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on …

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Essays On International Corporate Dividend Policy, Bobby Alexander Jan 2012

Essays On International Corporate Dividend Policy, Bobby Alexander

Finance and Real Estate Dissertations - Archive

This dissertation is comprised of two essays on dividend policy. In the first part of the first essay, I ascertain whether the outcome, the substitution, or the predation model explains the relationship between dividend payouts and product market competition in each of the Group of Seven (G7) countries for the period from 1995 through 2010. I find that the substitution model explains dividend policy in Canada, France, Germany, the United Kingdom, and the United States, and the outcome model describes it in Japan, while in Italy, the results are inconclusive. In the second part of the same essay, I pool …

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Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga Jan 2012

Club Good Influence On Residential Transaction Prices, J. Andrew Hansz, Darren K. Hayunga

Finance Faculty Publications

We examine residential real estate transactions in a market where an additional property right to a club good may have an influence on prices. We find that for single-family property, the market capitalizes approximately 50% of the full value of the extra property right. For condominiums, the amount reduces to approximately 25%. While these amounts are positive, they clearly are significantly lower than full value.

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Executive Compensation And Idiosyncratic Risk, Hum Nath Panta Jan 2011

Executive Compensation And Idiosyncratic Risk, Hum Nath Panta

Finance and Real Estate Dissertations - Archive

Executive compensation is a very heavily researched area in finance, accounting and management over the last three decades. However, there are several inconclusive issues. One of them is the relationship between idiosyncratic risk and executive compensation. Prior research findings on this issue are inconclusive. In this context, this dissertation analyzes the effects of idiosyncratic risk on executive compensation. This research seeks to discover and document the role of idiosyncratic risk on all top executive compensation, CEO compensation and non-CEO executive compensation. This study will begin with an extensive review of prior studies on executive pay to identify the determinants of …

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Developing A Culturally Responsive Classroom Collaborative Of Faculty, Students, And Institution, Paul J. Colbert Nov 2010

Developing A Culturally Responsive Classroom Collaborative Of Faculty, Students, And Institution, Paul J. Colbert

MBA Faculty Conference Papers & Journal Articles

Culture is integral to the learning process. It is the organization and way of life within the community of students and teachers and directs the way they communicate, interact, and approach teaching and learning. Although founded in particular values and principles, the academy, like most organizations, is impacted day-to-day by its culture. Yet, the traditional higher education institution has not been designed to operate within a racially or ethnically diverse student population. The social, political, economic, and cultural forces that support the institution influence the teaching and learning environments. To better address cultural diversity in the classroom, faculty must first …

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Mass Business Report, College Of Management, University Of Massachusetts Boston Apr 2010

Mass Business Report, College Of Management, University Of Massachusetts Boston

Financial Services Forum Publications

Welcome to the College of Management, UMass Boston, Financial Services Forum’s Spring 2010 report on the Massachusetts economy. The spotlight of this report is the Finance, Insurance and Real Estate (FIRE) sector in Massachusetts.

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The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang Jan 2010

The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang

Finance and Real Estate Dissertations - Archive

This dissertation investigates the impact of a short sale ban on the stock market and the options market and the interrelation between the two markets during the US financial crisis of 2008. The first essay focuses on the impact of the short sale ban on financial stocks between September 18, 2008 and October 8, 2008. I examine how daily returns responded to the ban. Non-banned firms with similar sizes and standard deviations of past stock returns as the banned firms served as a control group. An event study shows significant positive cumulative abnormal returns which might indicate that the banned …

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Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf Jan 2010

Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf

Finance and Real Estate Dissertations - Archive

This dissertation consists of three distinct essays. The first essay provides initial empirical evidence on the usefulness of consumer confidence index and investor optimism index in predicting REIT price movements. I find evidence of uni-directional Granger causality from REIT returns to the change in Michigan consumer sentiment index for the period 1978 - 2008. I find a negative and statistically significant relationship between the level of Michigan consumer sentiment index in one month and the FTSE/NAREIT US REIT returns in the next one, six, and twelve months. On the other hand, I find a positive and statistically significant relationship between …

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Determinants Of Implied Volatility Movements In Individual Equity Options, Christopher G. Angelo Jan 2010

Determinants Of Implied Volatility Movements In Individual Equity Options, Christopher G. Angelo

Finance and Real Estate Dissertations - Archive

In this study, I introduce a parsimonious model that explains implied volatility time series for individual stock options. The current state of risk management for individual equity options still seems to lack the presence of pertinent exogenous variables. This study suggests a few easily observable variables that can be used to explain the changes in implied volatilities of stock options. These variables can be used in the risk models in order to more accurately manage option positions for individual stocks. The first chapter provides a motivation for the VIX as the primary explanatory variable for changes in implied volatility. It …

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Origins And Resolution Of Financial Crises: Lessons From The Current And Northern European Crises, Finn Østrup, Lars Oxelheim, Clas Wihlborg Jan 2009

Origins And Resolution Of Financial Crises: Lessons From The Current And Northern European Crises, Finn Østrup, Lars Oxelheim, Clas Wihlborg

Business Faculty Articles and Research

Since July 2007, the world economy has experienced a severe financial crisis that originated in the U.S. housing market. Subsequently, the crisis has spread to financial sectors in European and Asian economies and led to a severe worldwide recession. The existing literature on financial crises rarely distinguishes between factors that create the original strain on the financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of the literature on financial crises refers to factors that cause an original disruption in the financial system. We argue that a financial crisis with …

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Price Discovery Of Credit Risk, Yibing Du Jan 2009

Price Discovery Of Credit Risk, Yibing Du

Finance and Real Estate Dissertations - Archive

This study investigates financial markets' price discovery for credit risk across the stock, bond, and credit derivatives markets. This study also examined what factors affect financial market's price discovery for credit risk. Four factors are studied: liquidity, transaction cost, credit ratings and maturities. Using weekly equity, bond and credit default swap market data from January 2000 to October 2007, it is found that stock market and bond market, credit derivative market and bond market are cointegrated for long term credit risk price discovery. In short term, both stock market and credit derivatives market lead the bond market for credit risk …

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Going Green - Impact On Residential Property Values, Ramya Rajajagadeesan Aroul Jan 2009

Going Green - Impact On Residential Property Values, Ramya Rajajagadeesan Aroul

Finance and Real Estate Theses - Archive

Hedonic pricing model is generally used to empirically understand the relationship between various housing characteristics and the housing values. In the past hedonic studies have looked at the relationship between the housing prices and structural features, environmental amenities, neighborhood characteristics, time variables and even financing. But real estate researchers have greatly overlooked to study the impact of greenness on residential properties though there has been a huge interest among the researchers and practitioners on green buildings. This study poses the primary question of if any potential relationship exists between greenness and property values. This study further extends the research question …

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The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets, Sheryl-Ann Kathleen Stephen May 2008

The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets, Sheryl-Ann Kathleen Stephen

Finance and Real Estate Dissertations - Archive

This dissertation examines the impact of the Sarbanes-Oxley Act (SOX) on the U. S. financial markets by investigating three topics: security analysts' performance, security analyst monitoring activity and firm value, and the cost of equity capital. Each topic is presented in a separate essay. In the first essay, the impact of SOX on security analysts' performance is investigated. The findings indicate that security analysts' forecasting performance has deteriorated post-SOX for both large and small firms. In addition, this deterioration in forecasting performance holds across industries. Security analysts have also become pessimistic in their earnings forecasts post-SOX. The second essay examines …

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Comparative Determinants Of International Equity Diversification, Ying Zhang May 2008

Comparative Determinants Of International Equity Diversification, Ying Zhang

Finance and Real Estate Dissertations - Archive

This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification by linking market integration, cointegration and portfolio diversification. Cointegration tests are conducted to both analyze the stationarity of country and industry index covariances and to dissect the diversification contributions of each component. Portfolios comprised of market indices independent of cointegrating relations produce, on average, better risk-return profiles than those constructed from cointegrated market indices. Although country and sector allocations both contribute to independent market portfolio gains, the diversification determinants have differential impact on …

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Essays On Asset Pricing And Growth Effect, Wikrom Prombutr Apr 2008

Essays On Asset Pricing And Growth Effect, Wikrom Prombutr

Finance and Real Estate Dissertations - Archive

This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically observed value-growth stock return effect using real options theory. I simulate results from a real options model for two firm types. One type, the "value" firm, has a single growth opportunity. The other type, the "growth" firm, has infinitely repeated growth opportunities. Growth firms: (1) invest sooner, (2) pursue less lumpy investment paths, (3) have lower book-to-market ratios, and (4) generate lower rates of return than …

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Mortgage Lending In The Dallas Ft. Worth Metroplex: Screening For Racial Bias Using Hmda Data, Seanna Wesson Aug 2007

Mortgage Lending In The Dallas Ft. Worth Metroplex: Screening For Racial Bias Using Hmda Data, Seanna Wesson

Finance and Real Estate Theses - Archive

This study will look at loan data to screen for potential lending discrimination in the Dallas-Ft. Worth Metroplex. The data used for screening purposes is the 2003 Home Mortgage Disclosure Act (HMDA) Loan Application Register (LAR). HMDA data does not provide a complete picture of an applicant's creditworthiness. It lacks important information such as an applicant's employment and credit histories. As a result, this study cannot make a conclusive finding of racial bias in mortgage lending in the Dallas-Ft. Worth Area. However, this study can determine if there are any indicators of racial bias that would warrant deeper investigation.

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