48 research outputs found

    Mergers and Target Transparency

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    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 a sample of 1,538 friendly acquisitions partitioned in two separate dimensions: acquisitions of public versus private firms, and acquisitions of a firm’s assets versus acquisitions of a firm’s assets and its management. Using a sample of (nondiversifying) real estate transactions with a public REIT as the acquirer, we find that acquisitions of public firms have insignificant short-term abnormal returns. Acquisitions of private targets have positive and significant short-term abnormal returns. The acquirer’s abnormal returns are higher in both cases when the transactions involve acquisition of the target firm’s management. We find parallel results when analyzing the acquirer’s Q over the merger year and the three following years. Our conclusions are robust to the type of financing (cash, stock, or a combination) used in the acquisition

    The Effects of Assumption Financing Across Housing Price Categories

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    This study employs a standard housing valuation model to analyze the capitalization of below-market financing across housing price categories. The study also investigates the effect of secondary financing on housing prices and the effect of the expected holding period on discount capitalization. Using a randomly selected sample of 1981-82 housing transactions the study finds: the discount associated with below-market financing is inversely related to the absolute level of housing prices; secondary financing bears no systematic relationship to housing values; and discount capitalization is inversely related to the expected holding period. Copyright American Real Estate and Urban Economics Association.

    Risk Analysis in Land Development

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    Land development poses a different set of risks from income-producing property. This paper explores the nature of land development risk with particular reference to large-scale subdivision development. Because several major variables in land development analysis are correlated, meaningful risk analysis requires that intercorrelation be explicitly recognized and incorporated into simulations. A case study is presented which demonstrates the application of risk analysis to land development and the handling of intercorrelation among random variables. Copyright American Real Estate and Urban Economics Association.

    Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH

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    The impact of futures trading on the underlying asset volatility, and its characteristics, is still debated both in the economic literature and among practitioners. The aim of this study is to analyse the effect of the introduction of stock index futures on the volatility of the Italian Stock Exchange. This study mainly addresses two issues: first, the study analyses whether the reduction of stock market volatility showed in the post-futures period, already pointed out in previous research, is effectively due to the introduction of futures contract. Second, whether the 'futures effect', if confirmed, is immediate or delayed with respect to the moment of the futures trading onset is tested. The results show that the introduction of stock index futures per se has led to diminished stock market volatility and no other contingent cause seems to have systematically reduced it. Further, they also suggest that the impact of futures onset on the underlying market volatility is likely to be immediate. These findings are consistent with those theories stating that active and developed futures markets enhance the efficiency of the corresponding spot markets.
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