Now showing items 1-7 of 7

    • Analysis of Senior-Subordinated Structures Backed by Private-Label Mortgages 

      Kallberg, Jarl; Liu, Crocker H.; Radhakrishnan, A. R. (1997-12-23)
      This paper does a valuation analysis of senior-subordinated struc ture tranches backed by non-agency mortgages. The valuation is done using Monte Carlo simulation and employs the CIR interest rate process in conjunction ...
    • Evaluating Stock Price Volatility: The Case of REITs 

      Kallberg, Jarl; Liu, Crocker H.; Srinivasan, Anand (1998-03-15)
      One of the most controversial topics in modem financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This article measures ...
    • Is There Excess Comovement in the U.S. Real Estate Markets 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2007-09-14)
      This study addresses the recent performance of the U.S. residential real estate market. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas from January 1987 to October 2006. We ...
    • Preferred Stock: Some Insights into Capital Structure 

      Kallberg, Jarl; Liu, Crocker H.; Villupuram, Sriram (2013-01-01)
      This study analyzes the reactions of equity holders and bondholders to the announcement of 427 preferred stock issues. We document an average equity announcement effect of −0.65%. This reaction is positively influenced by ...
    • Preferred Stock: Some Insights into Capital Structure 

      Kallberg, Jarl; Liu, Crocker H.; Villupuram, Sriram (2013-01-11)
      This study analyzes the reactions of equity holders and bondholders to the announcement of 427 preferred stock issues. We document an average equity announcement effect of –0:65%. This reaction is positively influenced by ...
    • The Real Estate Market in the Aftermath of September 11 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2004-06-01)
      This study examines the reaction of the financial markets to the terrorist attack on the World Trade Center and how their behavior compared to the subsequent resolution in the corresponding real asset markets. This event ...
    • Updating Expectations: An Analysis of Post-9/11 Returns 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2008-01-01)
      This study analyzes how three groups of market participants—insiders, analysts, and all other investors—revised their expectations on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events ...