Friday, Jan. 4, 2019 10:15 AM - 12:15 PM
- Chair: Eva Steiner, Cornell University
Real Estate as a New Equity Market Sector: Market Responses and Return Comovement
AbstractThis study examines the market responses and return comovement between real estate and financial stocks around the reclassification of real estate firms from the financial sector to a standalone new real estate sector. We find that real estate stocks experience positive abnormal returns at the announcement of the new sector creation, and attract more investor attention after the announcement. More importantly, the comovement between real estate and financial stocks decreases dramatically after the new sector creation. These findings cannot be fully explained by the classical fundamental-based view and are consistent with a style-investing interpretation.
Debt Complexity and Firm Value: Evidence from United States REITs
AbstractIn this paper we analyse whether debt complexity has a material effect on firm valuations due to higher expected costs of coordination failure among creditors in bankruptcy. Employing a sample of 215 U.S. equity REITs, we construct a HHI-index based measure of debt complexity and analyse the effect of debt complexity on Tobins Q. We find that higher debt complexity is associated with lower firm values, especially during recessions. The effect is economically and statistically significant and robust to alternative specifications.
Agree to Disagree: NAV Dispersion in REITs
Abstract"This is the first study to analyze REIT Net Asset Value analyst coverage and dispersion. We find that NAV analyst coverage has a positive relationship with REIT value, as measured by Tobin's q and a negative relationship with REIT volatility. Subsequently we analyze NAV analyst estimate dispersion and find that it has a positive relationship with REIT leverage and volatility. We break down our sample by property type and find that retail REITs have the greatest NAV coverage and hospitality REITs have the greatest NAV analyst dispersion. Finally, we compare the significance of NAV forecast dispersion to earnings (FFO) forecast
dispersion. We find that NAV dispersion has a significant negative relationship with REIT value whereas FFO dispersion is not found to have a signicant relationship."
- G1 - General Financial Markets
- G3 - Corporate Finance and Governance