The Predictability of Equity REIT Returns

This study examines the predictability of monthly returns on equity real estate investment trusts (EREITs) over the period 1975-95 and compares it with that for small- and mid-cap firms. Using the time series approach of Jegadeesh (1990), evidence is found that monthly EREIT returns are predictable based on past performance. However, the predictability is not substantial enough to cover typical transactions costs, so that there is no evidence of unexploited arbitrage opportunities. The magnitude of EREIT predictability also is examined over different time periods, with the greatest amount found in the most recent data since 1992, which marks the emergence of the new wave of EREITs. Finally, persistence in individual REIT return performance is examined using a nonparametric technique. Limited evidence of persistence in performance is found, with retail-oriented REITs tending to exhibit the most persistence.

La información no financiera y el desempeño financiero empresarial

This paper aims to validate the effects that sustainability reports have on the financial performance of Colombian companies. Through a panel data model and the information of 30 companies listed on the Colombian stock exchange for the 2012 - 2015 period, the impact of sustainability reports on the financial performance of this group of companies is evaluated. It is concluded that the size of the company and the number of environmental indicators have a positive effect on financial performance, while its antiquity causes the opposite.Este artigo pretende validar os efeitos que os relatórios de sustentabilidade têm no desempenho financeiro das empresas colombianas. Através de um modelo de dados em painel e da informação de 30 empresas que cotizam na bolsa de valores colombiana para o período de 2012-2015, avalia-se a incidência que os relatórios de sustentabilidade têm sobre o desempenho financeiro desse grupo de empresas.Conclui-se que o tamanho da empresa e a quantidade de indicadores ambientais têm um efeito positivo no desempenho financeiro, enquanto a antiguidade da empresa apresenta um efeito contrário.Este artículo pretende validar los efectos que tienen los reportes de sostenibilidad en el desempeño financiero de las empresas colombianas. A través de un modelo de datos de panel y la información de 30 empresas que cotizan en la bolsa de valores colombiana para el periodo 2012 - 2015, se evalúa la incidencia que tienen los reportes de sostenibilidad sobre el desempeño financiero de este grupo de empresas. Se concluye que el tamaño de la empresa y la cantidad de indicadores ambientales tienen un efecto positivo en el desempeño financiero, mientras que la antigüedad de la misma causa lo contrario

The effects of corporate social performance on the cost of corporate debt and credit ratings

This study investigates the differential impact that various dimensions of corporate social performance have on the pricing of corporate debt as well as the assessment of the credit quality of specific bond issues. The empirical analysis, based on an extensive longitudinal data set, suggests that overall, good performance is rewarded and corporate social transgressions are penalized through lower and higher corporate bond yield spreads, respectively. Similar conclusions can be drawn when focusing on either the bond rating assigned to a specific debt issue or the probability of it being considered to be an asset of speculative grade

The effects of corporate and country sustainability characteristics on the cost of debt: an international investigation

We investigate the relationship between corporate and country sustainability on the cost of bank loans. We look into 470 loan agreements signed between 2005 and 2012 with borrowers based in 28 different countries across the world and operating in all major industries. Our principal findings reveal that country sustainability, relating to both social and environmental frameworks, has a statistically and economically impactful effect on direct financing of economic activity. An increase of one unit in a country's sustainability score is associated with an average decrease in the cost of debt by 64 basis points. Our international analysis shows that the environmental dimension of a country's institutional framework is approximately twice as impactful as the social dimension, when it comes to determining the cost of corporate loans. On the other hand, we find no conclusive evidence that firm-level sustainability influences the interest rates charged to borrowing firms by banks. Our main findings survive a battery of robustness tests and additional analyses concerning subsamples, alternative sustainability metrics and the effects of financial crisis

Testing the predictability and efficiency of securitized real estate markets

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy

Further evidence on the (in-) efficiency of the U.S. housing market

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy-and-hold strategy

Takaful Operators’ Corporate Social Performance (CSP): An Industry Perspective

Takaful operators which are part of Islamic financial institutions (IFIs) derive their fundamental principles from shariah. These religious based institutions are expected to fulfill the two important roles in their business operations: commercially profitable and socially responsible. Nevertheless, their societal role is rarely measured and discussed. Therefore, this study appraised the societal role of takaful operators by assessing the components which have been proposed under the corporate social performance (CSP) theme for IFIs. This study has arranged structured interview sessions with the Chief Investment Officers and Heads of Investment of each of the eleven takaful operators in Malaysia. The Delphi-style technique was adopted when developing the interview questions. The questions were developed in the form of a five-point Likert scale, addressing specific issues on CSP of takaful operators. In addition, information on takaful operators’ CSR activities, zakat and tax payment were gathered from the companies’ websites and annual report of takaful operators. The study concludes that takaful operators in Malaysia have achieved their societal role through two channels: CSP programmes financed from companies’ profits and fulfillment of CSP as a result of business-community agenda. This study covers every takaful operator in Malaysia and the results reflect industry opinion

Price-signaling and return-chasing: international evidence from maturing REIT markets

This paper examines the liquidity of international real estate securities across ten markets over the period 1990-2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the U.S. and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return-chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity, and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios

You Can’t Always Get What You Want: Trade-size Clustering and Quantity Choice in Liquidity”,

Abstract This paper examines whether investors care more about trading their exact quantity demands at some times than at others. Using a new data set of foreign-exchange transactions, I find that customers trade more precise quantities at quarter-end, as evidenced by less trade-size clustering. Customers trade more odd lots and fewer round lots, while the number of trades and total volume are not significantly changed. I also find that the price impact of order flow is greater when customers care more about trading precise quantities. This work sheds new light on trade-size clustering and offers a potential explanation for time-series and cross-sectional variations in common liquidity measures. JEL classification: D4; G12; G1