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Articles 31 - 47 of 47
Full-Text Articles in Real Estate
Essays On International Corporate Dividend Policy, Bobby Alexander
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 …
Executive Compensation And Idiosyncratic Risk, Hum Nath Panta
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 …
The 2008 Short Sale Ban: Did We Sell Price Discovery Short, Yen-Ling Chang
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 …
Three Essays On Real Estate Equities And Real Estate Investment Trusts, Fahad Almudhaf
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 …
Determinants Of Implied Volatility Movements In Individual Equity Options, Christopher G. Angelo
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 …
Price Discovery Of Credit Risk, Yibing Du
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 …
Going Green - Impact On Residential Property Values, Ramya Rajajagadeesan Aroul
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 …
The Impact Of The Sarbanes-Oxley Act Of 2002 On The U.S. Financial Markets, Sheryl-Ann Kathleen Stephen
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 …
Comparative Determinants Of International Equity Diversification, Ying Zhang
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 …
Essays On Asset Pricing And Growth Effect, Wikrom Prombutr
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 …
Mortgage Lending In The Dallas Ft. Worth Metroplex: Screening For Racial Bias Using Hmda Data, Seanna Wesson
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.
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective, Nafeesa Yunus
Diversification Benefits Of Real Estate Assets And Equity Assets In A Regional And Global Perspective, Nafeesa Yunus
Finance and Real Estate Dissertations - Archive
The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed diagnostic tests to evaluate the degree of long-run integration and short-run dynamics among major public property markets (in terms of market capitalization) over a period beginning January 2000 and ending March 2006 to evaluate diversification possibilities from the perspective of the US investor. Both Asia and Europe are investigated. A secondary objective is to examine the long-run and short-run interaction among the corresponding major international equity markets to …
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks, Pieter De Jong
The Change In Financial Analysts' Forecast Attributes For Value And Growth Stocks, Pieter De Jong
Finance and Real Estate Dissertations - Archive
This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests if growth and value stock returns respond more to forecasted earnings changes than they do to changes in earnings and whether these stock returns respond in a different fashion before and after Reg FD. This phenomenon is stronger for growth stock portfolio strategies than it is for value stock portfolios. After Reg FD, the overall impact of earnings expectations on stock returns is smaller, especially …
The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English
The Impact Of Property Flipping On Single Family Detached Home Prices, Wesley H. English
Finance and Real Estate Theses - Archive
In 2003 HUD ruled that flipped properties, which are defined as recently acquired properties that have been resold, often within days, and for a substantial profit, are ineligible for FHA insured mortgage financing. This research uses the HUD ruling as the basis for this study. Their ruling was based on the perception that property flipping had a negative effect on home prices among other things. The study uses hedonic modeling to empirically determine if houses that have previously flipped have any influence on value when compared to the non-flipped properties in the same market. Through a regression analysis, it is …
Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley
Default Prediction For Commercial Mortgage Backed Securities, James Scott Dudley
Finance and Real Estate Theses - Archive
Commercial mortgage default has become a topic of interest for a large number of parties due to the emergence and continued growth of the secondary mortgage market. With the multitude of parties holding a vested interest, it is important to develop a highly efficient method of monitoring collateral performance and ultimately be able to confidently predict or anticipate default. This study shows the correlation between appearance of a loan on a Watchlist and its potential to become delinquent in the future. While testing this hypothesis, a model is created that incorporates several other variables readily used to predict collateral performance …
Strategic Exercise Of Options On Non-Traded Assets And Stochastic Volatility In An Incomplete Market: Indifference Pricing And Entropy Methods, Singru Hoe
Finance and Real Estate Dissertations - Archive
The first study explores optimal investment policies for strategic option exercise when the underlying project is not traded. A duopoly model captures strategic interactions, while a partial spanning asset models market incompleteness. The option value to invest is obtained through indifference pricing, i.e., certainty equivalent value. I find that incompleteness narrows the gap between leader and follower entry dates. The follower enters much sooner, and the leader delays slightly compared to classic real options models. Modeling investment income stream as an Arithmetic Brownian motion is a better fit than Geometric Brownian motion, while reducing the necessary numerical approximations for obtaining …
Stock Options: To Expense Or Not To Expense. A Comparison Of Economic Determinants, Firm Payoffs, And Pay-Performance Sensitivity Of Executive Stock Option Compensation, Barbara Wood
Finance and Real Estate Dissertations - Archive
Until June 2005, firms had a choice in accounting for stock option compensation. The majority of firms elected to disclose option compensation expense in the footnotes of their financial statements. However, after the accounting scandals in the early 2000s, many firms moved from disclosing the expense to recognizing the expense as a charge against earnings. This research examines the reasons that firms would voluntarily elect to adopt option recognition prior to regulatory requirement. The decision to recognize option pay is examined with respect to efficient contracting, earnings management, and information signaling. Firms that elect to expense option pay do so …