We propose a new methodology to test Fama's (1991) contention that the present value model (PVM) should be augmented by time-varying expected inflation to more adequately account for actual stock price behavior. Unlike other methods, our testing approach can distinguish between the excess-price...

This study examines changes in operating performance among real estate investment trusts following an initial public offering (IPO). The purpose is to determine whether there is an enhancement in the value of the underlying asset that is related to the IPO. We separately analyze equity, mortgage...

The purpose of this study is to examine the effect of the October 17, 1989 California earthquake on the stock value of firms involved in the real estate industry. The impact of the earthquake on real estate-related stock prices is examined. The findings indicate that the earthquake conveyed...

We study the performance and diversification of iShares and their rival closed-end country funds from April 1996 to 1999. International iShares are country-specific series of securities that track the price and yield of a specific MSCI country index and, presumably, should provide...

We propose a new methodology to test Fama's (1991) contention that the present value model (PVM) should be augmented by time-varying expected inflation to more adequately account for actual stock price behavior. Unlike other methods, our testing approach can distinguish between the excess-price...