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Browsing Cornell Peter and Stephanie Nolan School of Hotel Administration by Author "Alcock, Jamie"
Now showing items 1-7 of 7
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Fundamental Drivers of Dependence in REIT Returns
(2016-05-01)We analyse the empirical relationships between firm fundamentals and the dependence structure between individual REIT and stock market returns. In contrast to previous studies, we distinguish between the average systematic ... -
Future Earnings Growth Volatility and the Value Premium
(2011-12-01)The value premium is well established in empirical asset pricing, but to date there is little understanding as to its fundamental drivers. We use a stochastic earnings valuation model to establish a direct link between the ... -
Leverage, Volatile Future Earnings Growth and Expected Stock Returns
(2014-08-07)We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage ... -
Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence
(2013-10-01)We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with ... -
On the Capital Structure of Real Estate Firms
(2010-08-24)The leverage and debt maturity choices of real estate companies are interdependent, and are not made separately as is often assumed in the literature. We use three-stage least squares (3SLS) regression analysis to explore ... -
The Interrelationships Between REIT Capital Structure and Investment
(2017-08-01)We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with ... -
Unexpected Inflation, Capital Structure And Real Risk-Adjusted Firm Performance
(2017-06-01)Managers can improve real risk-adjusted firm performance by matching nominal assets with nominal liabilities, thereby reducing the sensitivity of real risk-adjusted returns to unexpected inflation. The Net Asset Value (NAV) ...
