Now showing items 1-20 of 51

    • Portfolio Allocations to Real Estate: Another Story 

      Corgel, John B.; deRoos, Jan A. (1994-12-01)
      Almost 25 years ago Friedman (1970) demonstrated that unsecuritized real estate, because of its relatively high risk-adjusted return and low correlations with stocks and bonds, receives substantial allocations in efficient, ...
    • 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 ...
    • The Effect of Corporate Acquisitions on Stockholder Returns in the Lodging Industry 

      Canina, Linda (2000-07-01)
      We examine the stock market’s reaction to merger announcements in the lodging industry over the 1982-2000 period. Unlike the results for the overall market, we find that both the stockholders of the acquiring and target ...
    • Financial Innovation and Russian Government Debt Before 1918 

      Ukhov, Andrey D. (2003-05-05)
      In this paper I describe debt instruments issued by the Russian Imperial Government. At the beginning of the 20th century, the Russian government was the largest borrower in the world. Russian government bonds were traded ...
    • 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 ...
    • Preferences Toward Risk and Asset Prices: Evidence From Russian Lottery Bonds 

      Ukhov, Andrey D. (2005-11-03)
      This paper studies the relationship between investor risk preferences and asset returns. The paper provides direct evidence on the risk aversion of participants in a securities market. It uses the prices of lottery bonds ...
    • Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets 

      Trzcinka, Charles A.; Ukhov, Andrey D. (2006-01-01)
      To study the welfare effects of investment barriers and the opening of markets to foreigners, we construct an equilibrium model of international asset pricing without agency costs that allows endogenous market participation ...
    • Who Trades With Whom, and When? 

      Moulton, Pamela (2006-06-09)
      This paper examines empirically how market participants meet on the NYSE to form trades. Pure floor trades, involving only floor brokers and the specialist, account for only 4% of trading volume in the average stock, while ...
    • 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 ...
    • Where Are the Shareholders’ Mansions? CEOs’ Home Purchases, Stock Sales, and Subsequent Company Performance 

      Liu, Crocker H.; Yermack, David (2007-10-17)
      We study real estate purchases by major company CEOs, compiling a database of the principal residences of nearly every top executive in the Standard & Poor’s 500 index. When a CEO buys real estate, future company performance ...
    • Risk Aversion and Clientele Effects 

      Blackburn, Douglas W.; Goetzmann, William N.; Ukhov, Andrey D. (2009-09-01)
      We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different ...
    • Living with Terminal Capitalization Rates: A Look at Real Estate Valuation Model Parameter Setting 

      Corgel, Jack; Lee, Hyun Seok (2011-04-10)
      This paper examines assumptions about future prices used in real estate applications of DCF models. We confirm both the widespread reliance on an ad hoc rule of increasing period-zero capitalization rates by 50 to 100 basis ...
    • Do Stock Prices Move Too Much to Be Justified by Changes in Cash Flows? New Evidence from Parallel Asset Markets 

      Muhlhofer, Tobias; Ukhov, Andrey D. (2012-01-01)
      We take advantage of two parallel markets for a set of cash flows to show that better cash flow measurement improves the performance of a dividend discount model. Unlike previous literature, we use out-of-sample estimation. ...
    • Price Discovery in the Stock and Corporate Bond Markets 

      Mao, Yifei (2012-10-31)
      This paper uses intraday U.S. bond transaction and stock quote data to investigate whether corporate bonds lead stocks in price discovery of underlying firm value. I use Hasbrouck's (1995) “information share" approach to ...
    • Individual Investors and the Financial Crisis 

      Liu, Crocker H.; Wang, Na (2014-01-01)
      This paper studies the trading behavior of individual Chinese investors before and during the recent financial crisis. We have three major findings: (i) individual investors did not withdraw their capital from the equity ...
    • Leverage, Volatile Future Earnings Growth and Expected Stock Returns 

      Alcock, Jamie; Steiner, Eva; Tan, Kelvin Jui Keng (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 ...
    • On Investor Preferences and Mutual Fund Separation 

      Dybvig, Philip; Liu, Fang Ph.D (2014-09-01)
      We extend Cass and Stiglitz’s analysis of preference-based mutual fund separation. We show that high degrees of fund separation can be constructed by adding inverse marginal utility functions exhibiting lower degrees of ...
    • Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility Based Framework 

      Boudry, Walter I.; deRoos, Jan A.; Ukhov, Andrey D. (2014-09-10)
      We study the diversification benefits of REIT preferred and common stock using a utility based framework in which investors segment based on risk aversion. Taking the view of a long run investor, we conduct our analysis ...
    • Using Cash Flow Dynamics to Price Thinly Traded Assets: The Case of Commercial Real Estate 

      Boudry, Walter I.; Liu, Crocker H.; Mühlhofer, Tobias; Torous, Walter N. (2014-10-28)
      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 ...