This study examined the complex relationships among recession news, the state of the economy, and people's perceptions toward the economy from January through March using trivariate vector autoregression (VAR) analysis. Most of the time-series variables were found to have structural changes during this time frame. With the help of the Chow test, the researchers were able to determine January as the cutoff point to divide the entire period into two: downturn period and recovery period. The relationships among these three time-series were found to be dramatically different across the two distinct periods. The paper concludes that: () the situational factor (different states of economy) played a crucial role in determining how the public evaluates the economy; () the extent to which recession news' impact on people's assessment of the economy depended on different economic circumstances; () news coverage responded differently across these two distinct periods but, in the long run, followed the economic reality; and () the public's sentiments toward the economy can predict economic performance.
This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid-ask spreads, etc.). However, the conventional measures have several shortcomings as pure measures of trading information. To address this issue, we use a vector autoregressive methodology pioneered by Hasbrouck. We examine the empirical proposition that information-gathering activities are related to trade informativeness. The evidence is consistent with a theoretical model in which traders are risk-averse and the number of information gatherers is small. Copyright American Real Estate and Urban Economics Association.
Unlike equity returns, many fixed-income return measures appear to display long memory. We show that the extent of long memory in U.S. Treasury debt returns differs strongly for gross and excess holding period returns. Granger and others have argued that long memory may only reflect infrequent structural breaks. We explore the impact of structural instability on tests for long memory. We find only weak indications that structural instability lies behind the long memory in gross and excess returns. The evidence of long memory remains strong for yield and term premia series even after accounting for a series of potential underlying structural changes.
This paper examines the relation between information‐gathering activities and price formation when the gatherers are small in number. Two measures of information asymmetry are estimated to test the cross‐sectional effect of investment‐analyst attention on price formation. The analysis contrasts firms that invest predominately in real estate assets to those that do not. Unlike most studies of the competition among information gatherers, the results in this paper indicate that liquidity worsens with increasing investment‐analyst attention. These findings provide further evidence that information deficiency is an important economic trait, although real estate securities may suffer less from neglect than from asset‐specific information asymmetry.
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