Unlike operating companies, acquisitions between Real Estate Investment Trusts (REITs) are friendly and acquirers have been previously found to experience positive announcement effects. This study looks beyond stock response and long term performance and finds that overconfidence motivates REIT...

This paper examines the share price reactions of small commercial banks to the announcement of the Basle Accord. Previous studies document that large banks have negative price reactions to the announcement of the accord. Findings here show that small banks have positive share price reactions....

We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing...

This study employs five methods to calculate the VaR of twelve REITs portfolios and evaluates the accuracy of these methods. Firstly, we find that the VaR varies among individual portfolios. The Hotel REITs has consistently the largest VaR. The low-leveraging portfolio tends to have the largest...

This paper studies the return relationships between listed banks and real estate firms in seven Asian economies before and after the Asian financial crisis. We find that listed banks were exposed to real estate risk both before and after the crisis, but that the exposure increased in the...

Contrary to the Fisherian theory of interest, previous studies document a negative relationship between REIT (Real Estate Investment Trust) returns and inflation. In this research, we re-examine this perverse inflation behavior by testing for the causal relationships among REIT returns, real...

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 have documented the reversal in the initial returns of REIT IPOs from overpricing in the 1980s to underpricing in the 1990s. We find that the gross spreads of REIT IPOs decreased significantly in the 1990s. In particular, there is a bimodal clustering for gross spreads at 6.5...

This paper assesses the importance of financial development and R&D spending for exports using both a theoretical model and econometric testing. It is shown that financial development and R&D expenditures are positively related to exports and the balance of manufactured goods. The results...