This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the...

Previous studies show that REITs returns and inflation are negatively related. This paper reexamines this perverse inflation hedge phenomenon by investigating the relationship among REITs returns, real activities, monetary policy and inflation through a Vector Error Correction Model. Empirical...

In this paper, the diversification benefits of using stock index futures are examined. Empirical evidence shows that traditional diversification in international equity markets does not produce a risk adjusted performance superior to the US market. An explanation for this result is that...

The question of why firms exercise stock splits has inspired research for some time. Signalling and optimal trading range hypotheses are possible explanations for stock splits. This paper considers the sociological aspects of maintaining a stable target-price habit. It argues that one of the...

This paper examines the stock market reaction to announcements that utilities are converting to utility holding companies. There are negative abnormal returns associated with these announcements. Holding companies permit these utilities to diversify beyond the utility industry, and the...

This paper examines the common stock returns of three groups of bidders that purchased brokerage houses. Only in the cases of horizontal mergers, one brokerage house purchasing another, are there abnormal returns associated with the purchase. Neither bank holding company bidders nor...

The evidence in this paper supports the hypothesis that the previously documented stock price reversal following a tender offer announcement is consistent with a price pressure caused by a temporary shift in the security's demand curve. The authors came to this conclusion by redocumenting the...

This article re-examines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods but we modify the conventional market model to permit its residuals (unexpected...

The deposit-cost markup theory of Jaffe and Rosen's type suggests that the cost of attracting funds determines prices (mortgage loan rates). Other equally plausible theories argue for the reverse chain of events, whereby mortgage loan rates induce changes in the deposit interest rates. We...

This research examined the return behavior of a portfolio of American and New York Stock Exchange real estate firms. A dummy variable procedure was used to test for excess return and/or change in risk behavior across market conditions. The findings were as follows. First, no excess return was...