The Price Behavior of REITs Surrounding Extreme Market-Related Events

Glascock, John L.; Lu‐Andrews, Ran

doi:10.1007/s11146-015-9495-2

Cited by 12 publications

(2 citation statements)

References 34 publications

(36 reference statements)

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“…The annual firm data for these REITs were obtained for the period 1980 to 2016. The REIT and property types were gathered from the CRSP/Ziman real estate database (Glascock and Lu-Andrews [36]; Ling and Naranjo [37]; Shen [38]; Shen, Hui and Fan [39]; Shen, Hui and Fan [40]). The sample contained 523 REITs in total including 391 equity, 98 mortgage, and 34 hybrid REITs.…”

Section: Methodsmentioning

confidence: 99%

The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs

Shen

Chau

2022

Sustainability

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We examined the effects of access to public debt on the corporate financing decisions in real estate investment trusts (REITs) using a difference-in-differences approach and a propensity score approach. The introduction of credit ratings by S&P and Moody’s has allowed REITs to access the public debt market. To investigate the impacts of the introduction of credit ratings, we compared the financing policies in REITs with initial credit ratings before and after the introduction of credit ratings with REITs that had not obtained a credit rating between 1980 and 2016. After obtaining credit ratings, REITs have significantly increased the corporate leverage ratios and the use of long term debt, which suggest that REITs were constrained from debt financing, in particular long term debt financing, in the past until they could gain access to the public debt market after the introduction of credit ratings. Access to the public debt market has also significantly reduced both equity issuances and cash holdings. Our empirical results suggest that the introduction of credit ratings can reduce information asymmetry, and affect REITs’ capital structure decisions and the level of cash holdings.

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Section: Methodsmentioning

confidence: 99%

The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs

Shen

Chau

2022

Sustainability

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“…The Ziman database is widely used in REIT studies; seeRo and Ziobrowski (2011),Glascock and Lu- Andrews (2015) Ling and Naranjo (2015),Ling et al (2020),Shen (2021),Shen et al (2021a;2021b),. etc.13 FollowingBabenko et al (2019), we search keywords in each DEF 14A proxy statement (and 10-K filing), including clawback, claw back, claw-back, compensation recover, compensation recoup, recoup provision, recoup policy, recoup award, and recover award.14 The number of adopters (152) initial clawback adoptions is less than the number of adopters (167) in the panel data, because the cumulative abnormal returns requires at least 240 trading days before initial adoptions to estimate the market reactions to the announcements of clawback adoptions.…”

mentioning

confidence: 99%

The Valuation Effect and Consequences of Clawback Adoption in Real Estate Investment Trusts

Peng

Shen

Fung

et al. 2022

J Real Estate Finan Econ

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This study explored the valuation effect of clawback adoption in the REIT market and identified possible channels through which clawback may generate benefits to REITs.We first found that the stock market reacts positively to the announcement of clawback adoption, and that market response is more pronounced when the clawback policy is strong, based on a sample of initial clawback adoptions in REITs between 2007 and 2018. The valuation effect of clawback adoption is stronger among those REITs with higher likelihood of restatements and greater disclosure opacity prior to adoption, suggesting that REIT investors anticipate that the adopted clawbacks will reduce financial restatement risks and improve disclosure quality. Our further analysis found that clawback adoption reduces the chance that REITs will receive comment letters from the regulator, improve financial reporting readability and decrease investment aggressiveness in REITs. Compared with weak clawback adopters, strong adopters have lower incidences of financial restatements in the post-adoption period. Our findings indicate that clawback is a value-relevant corporate governance mechanism in REITs.

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Time‐varying roles of housing risk factors in state‐level housing markets

Huang

2020

Int. J Fin Econ

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This paper addresses housing asset pricing and highlights time‐varying exposures of state‐level housing risk premiums to five varieties of housing risk factors. The economic, demographic, liquidity and credit risk factors along with a market risk factor are included in the augmented factor‐based framework, Bayesian Model Averaging with Stochastic Break Betas and Stochastic Break Volatility (BMA‐SBB‐SBV). Time‐varying sensitivities of state‐level housing price returns are universally evident for all the five housing risk factors considered. State‐level housing markets with high bubble‐vulnerability display different exposures to systematic and liquidity risks from those regarded as less‐vulnerable to housing bubbles. The trivial abnormal returns, high probabilities of risk factor inclusion and low probabilities of breaks in responses to housing risk factors jointly provide evidence that the augmented factor‐based model is capable of characterizing state‐level housing returns.

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The Price Behavior of REITs Surrounding Extreme Market-Related Events

Cited by 12 publications

References 34 publications

The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs

The Effect of Access to the Public Debt Market on Corporate Financing Decisions: The Case of REITs

The Valuation Effect and Consequences of Clawback Adoption in Real Estate Investment Trusts

Time‐varying roles of housing risk factors in state‐level housing markets

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