Now showing items 1-20 of 21

    • An Analysis of REIT Security Issuance Decisions 

      Boudry, Walter I.; Kallberg, Jarl G.; Liu, Crocker H. (2010-01-01)
      This article tests the ability of traditional capital structure theories to explain the issuance decisions of real estate investment trusts (REITs). For issuances made between 1997 and 2006, we find strong support for the ...
    • An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2005-01-01)
      Using a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South ...
    • Analyst Behavior and Underwriter Choice 

      Boudry, Walter I.; Kallberg, Jarl G.; Liu, Crocker H. (2011-01-01)
      We examine the role that analysts play in a firm's choice of underwriter using a sample of major U.S. investment banks. In order to best capture the competitive environment, which is critical to the potential role that ...
    • Dividend Pricing Models and REITs 

      Kallberg, Jarl G.; Liu, Crocker H.; Srinivasan, Anand (2003-01-01)
      Dividend pricing/present value models relate current stock prices to expectations of future dividends. In this study we apply the West and Campbell–Shiller tests of the dividend pricing relation to an index of real estate ...
    • Investment Opportunities and Share Repurchases 

      Boudry, Walter I.; Kallberg, Jarl G.; Liu, Crocker H. (2013-01-01)
      Previous studies of share repurchase have primarily focused on examining announcement effects and long-term operating performance in order to distinguish among the diverse possible hypotheses for repurchase. One of the ...
    • Limited Partnerships and Reputation Formation 

      Kallberg, Jarl G.; Liu, Crocker H.; Srinivasan, Anand (2004-09-01)
      This paper analyzes the optimal quality decision of a producer in a multi-period setting with reputation effects. Using a unique database of returns on real estate limited partnerships (RELPs), we empirically examine ...
    • Mergers and Target Transparency 

      Hasan, Iftekhar; Kallberg, Jarl G.; Liu, Crocker H.; Sun, Xian (2014-01-01)
      We empirically investigate the hypothesis that the less transparent (more difficult to value) the target’s assets are the more likely it is that the acquiring firm can obtain higher short- and long-term returns. We analyze ...
    • On Indexing Commercial Real Estate Properties and Portfolios 

      Boudry, Walter I.; Coulson, N. Edward; Kallberg, Jarl G.; Liu, Crocker H. (2013-01-17)
      Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is ...
    • On Indexing Commercial Real Estate Properties and Portfolios 

      Boudry, Walter I.; Coulson, N. Edward; Kallberg, Jarl G.; Liu, Crocker H. (2013-01-01)
      Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is ...
    • On the Hybrid Nature of REITs 

      Boudry, Walter I.; Coulson, N. Edward; Kallberg, Jarl G.; Liu, Crocker H. (2012-01-01)
      The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate ...
    • On the Hybrid Nature of REITs 

      Boudry, Walter I.; Coulson, N. Edward; Kallberg, Jarl G.; Liu, Crocker H. (2011-02-09)
      The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate ...
    • On the Price Comovement of U.S. Residential Real Estate Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2014-04-01)
      We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can ...
    • Regime Shifts in Asian Equity and Real Estate Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2002-01-01)
      This paper applies a new statistical technology for identifying regime shifts to analyze recent data on real estate and equity markets in eight developing Far Eastern countries in the 1992–1998 time period. We find that ...
    • REITs: Structure and Performance 

      Boudry, Walter I.; Kallberg, Jarl G. (2014-09-08)
      [Excerpt] REITs are attractive to investors, particularly institutional investors, due to their high dividend payouts and ability to provide more liquidity to the underlying market for direct real estate investment. This ...
    • The Impact of Dual Agency 

      Gardiner, J’Noel; Heisler, Jeffrey; Kallberg, Jarl G.; Liu, Crocker H. (2007-01-01)
      In 1984, the State of Hawaii’s legislature enacted a law making it mandatory for real estate agents engaged in dual agency relationships (i.e., when the seller’s and the buyer’s agents are employed by the same real estate ...
    • The Role of Corporate Governance in Initial Public Offerings: Evidence from Real Estate Investment Trusts 

      Hartzell, Jay C.; Kallberg, Jarl G.; Liu, Crocker H. (2008-08-01)
      This study analyzes the impact of corporate governance structures at the initial public offering (IPO) date. We test hypotheses that firms with more shareholder-oriented governance structures receive higher valuations at ...
    • The Role of Real Estate in the Portfolio Allocation Process 

      Kallberg, Jarl G.; Liu, Crocker H.; Greig, D. Wylie (1996-01-01)
      This study explores the role of direct real estate investment in a portfolio context incorporating the real estate imperfections of indivisible assets and no short sales. Mean-variance efficient portfolios are calculated ...
    • The Role of Real Estate Investment in Insurance Company Portfolios 

      Kallberg, Jarl G.; Liu, Crocker H.; Greig, D. Wylie (1995-01-01)
      [Excerpt] An area of ongoing debate in the area of long-term investment has been what is the appropriate role of real estate in an institutional portfolio, Numerous studies using a mean-variance setting have suggested that ...
    • The Role of the Underlying Real Asset Market in REIT IPOs 

      Hartzell, Jay C.; Kallberg, Jarl G.; Liu, Crocker H. (2005-01-01)
      A leading explanation for IPO cycles is time‐varying supply and demand for the underlying assets of the firms that are considering going public. We test this hypothesis using REIT IPOs, taking advantage of the relative ...
    • The Value Added from Investment Managers: An Examination of Funds of REITs 

      Kallberg, Jarl G.; Liu, Crocker H.; Trzcinka, Charles (2000-09-01)
      This paper empirically analyzes REIT mutual funds. We show that, contrary to most mutual fund studies, the average and median alphas (net of expenses) are positive. We also find that time-varying positive alphas are much ...