In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find...

A large proportion of international real estate investment is concentrated in the office markets of the world's largest cities. However, many of these global cities are also key financial services centres, highlighting the possibility of reduced economic diversification from an investor's...

Using a sample of 1,154 European firms from 11 countries, we show that firm-level exchange exposure for Eurozone and non-Eurozone European firms has increased since the advent of the euro, but this rise was smaller for Eurozone than non-Eurozone firms. The increase in firmspecific risk is offset...

This study compares the takeover premiums for 55 private equity buyouts with 59 takeovers involving a public acquirer, from the US takeover market between 2004 and 2007. This investigation takes place amidst accusations of anti-competitive behaviour against some of the most active private equity...

We build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate...

We examine the relation between firms' foreign exchange exposure and the extent of their multinationality as a proxy for operational hedging. Using a sample of 953 US firms over the period 1999-2006, we show that there is a nonlinear relation between operational and financial hedging, confirming...

We investigate the influence of exchange rate regimes on the foreign exchange exposure of emerging market firms. Using a sample of 1,523 firms from 20 countries for the period December 1999 to December 2010, we find that about half of the firms are significantly exposed to exchange rate...

Using daily price and volume data on 112 of the largest takeover targets in Australia during the period 1985 to 1993, we find that conditional price volatility declines after the takeover announcement. This decline is greatest for targets of cash bids and smallest for targets of share-exchange...