Using Cash Flow Dynamics to Price Thinly Traded Assets: The Case of Commercial Real Estate

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 most important rationales they have studied is the over-investment hypothesis: firms repurchase in order to avoid investing in negative net present value projects. While the recent empirical analyses have presented some indirect evidence in support of the over-investment hypothesis, this study examines this rationale for repurchase from a unique perspective, empirically showing that project returns have an important influence on the decision to repurchase shares. Our sample of firms consists of 125 real estate investment trusts (REITs) in order to utilize a time series of real estate capitalization rates (property ROAs) from market transactions on different property types. These cap rates proxy for a REIT’s project opportunity set. Using a both Logit and Tobit models that corrects for other possible buyback rationales, we show that during periods with relatively low cap rates, REITs are more likely to both repurchase shares and repurchase larger amounts of shares than when cap rates are high

Using Cash Flow Dynamics to Price Thinly Traded Assets

Are cash flows informative and predictive in valuing thinly traded assets? We investigate the extent to which cash-flow and discount-factor information plays a role in pricing thinly traded assets. We focus on pricing the various traded tranches in commercial mortgage-backed securities (CMBS) by developing an adaptation of the Campbell-Shiller dynamic Gordon growth model, which we term a Self-Propagating Rolling-Window VAR. We apply this to cash flows and actual bond prices. In contrast to stocks, we find that cash flows are informative in valuing thinly traded assets. Our predicted cash flow yields closely resemble ex-post realized transaction yields, and these predicted yields even outperform yields based on matrix prices especially for subordinated tranches. We also find that discount-factor information, while important is not as informative as cash flows in this setting, except after the financial crisis where the impact of discount-factor information increases somewhat. Our results provide a good representation of CMBS yields; investors can readily apply this algorithm to infer values of other types of thinly traded assets where cash flows are observable

Using Cash Flow Dynamics to Price Thinly Traded Assets: The Case of Commercial Real Estate

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 most important rationales they have studied is the over-investment hypothesis: firms repurchase in order to avoid investing in negative net present value projects. While the recent empirical analyses have presented some indirect evidence in support of the over-investment hypothesis, this study examines this rationale for repurchase from a unique perspective, empirically showing that project returns have an important influence on the decision to repurchase shares. Our sample of firms consists of 125 real estate investment trusts (REITs) in order to utilize a time series of real estate capitalization rates (property ROAs) from market transactions on different property types. These cap rates proxy for a REIT’s project opportunity set. Using a both Logit and Tobit models that corrects for other possible buyback rationales, we show that during periods with relatively low cap rates, REITs are more likely to both repurchase shares and repurchase larger amounts of shares than when cap rates are high.Boudry10_Using_cash_flow.pdf: 141 downloads, before Aug. 1, 2020

Arthroskopische Zupfbiopsie zum Nachweis von periprothetischen Infektionen am Hüftgelenk

Oxido-reductases from medium-chain dehydrogenase/reductase (MDR) family are excellent biocatalysts for the generation of optically pure alcohols from prochiral ketones. The mechanism of hydride and proton transfer steps in zinc-catalyzed carbonyl reduction has been investigated by quantum mechanical/molecular mechanical (QM/MM) calculations. The recent X-ray structure of zinc-dependent carbonyl reductase from Candida parapsilosis (CPCR2; PDB ID 4C4O) shows two different conformers of Glu66 and two positions of the catalytic zinc ion. Starting from four different hypothetical states, we obtained only two minima, so-called Zn_rest–Glu_in and Zn_cat–Glu_out of zinc ion and Glu66, indicating a coupled movement. We analyzed the dependence of barriers for the hydride transfer for these two states in the reduction of carbonyl substrate using QM/MM steered molecular dynamics (SMD) simulations. Our calculations show that the catalytic state (Zn_cat–Glu_out) has a ∼20 kcal/mol lower reaction barrier in comparison to the resting state (Zn_rest–Glu_in). This indicates that the coupled movement of zinc ion and Glu influences not only the ligand exchange but also the catalytic process of MDRs