1# Library to Find Best eBook for Read
Author : Kimberly Fowler Luchtenberg
Release : 2013
Genre : Business enterprises
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate by : Kimberly Fowler Luchtenberg
Download or read book Three Essays on Corporate Liquidity, Financial Crisis, and Real Estate written by Kimberly Fowler Luchtenberg. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Release : 2007
Genre : Equity
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Corporate Liquidity, Financial Distress and Equity Returns by :
Download or read book Three Essays on Corporate Liquidity, Financial Distress and Equity Returns written by . This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Ruf
Release : 2018
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets by : Daniel Ruf
Download or read book Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets written by Daniel Ruf. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.
Author : Qingqing Chang
Release : 2013
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Essays on Liquidity in Finance and Real Estate Markets by : Qingqing Chang
Download or read book Essays on Liquidity in Finance and Real Estate Markets written by Qingqing Chang. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies liquidity and its relationship with stock returns and real estate markets. Liquidity has wide ranging effects on financial markets and the financial crisis highlighted the important role played by liquidity in finance and real estate markets. The objective of this dissertation research is to examine the characteristics of liquidity in different financial markets and to study the effect of innovations in liquidity on stock return volatility. First, using high-frequency trading data on publicly-traded real estate investment trusts (REITs) and trading data on commercial real estate assets, we document the transmission of a liquidity shock from public to private markets. Furthermore we examine the relationship between liquidity in real estate markets (both public and private markets) and macroeconomic variables. We also show how the transmission mechanism differs between public and private markets. Second, using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we are able to study the relationship between innovations in liquidity and stock-return volatility under the return-decomposition framework. We contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. This dissertation research aims to fill in the gaps in the existing empirical literature on liquidity and sheds light on the important relationship between liquidity and stock returns.
Author : Liang Guo
Release : 2013
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Liquidity in the Fixed-income Markets by : Liang Guo
Download or read book Three Essays on Liquidity in the Fixed-income Markets written by Liang Guo. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation looks at the liquidity issues in the fixed-income markets during the recent subprime crisis. It contains three chapters. The recent crisis has resulted in many observed deviations in relative asset price. The first two chapters study how liquidity crisis affects the relative asset pricing in the fixed-income market. Chapter 1 looks at two relative assets, Credit default swap (CDS) and its corresponding reference corporate bond, and I observe huge negative deviations in the arbitrage based parity relationship between CDS price and corresponding corporate bond yield spreads for the period 6/2008 to 9/2009. And Chapter 2 examines credit spreads between corporate bond yields and treasury bond yields. I found some instance of negative credit spreads during the financial crisis. However, all those observations in these two chapters are not consistent with the arbitrage-based pricing theory and, therefore, have drawn the attention of policy makers and market participants alike. In those two chapters I propose that arbitrage trading is also risky and constraint. In particular, I focus on the types of liquidity-funding and asset specific liquidity and their role in determining relative asset prices. I provide the empirical evidence that the observation of arbitrage mispricing between two relative assets in the credit risk market can be explained by the funding liquidity constraints and asset specific liquidity constraints during the recent financial crisis period. Collectively my analysis contributes to a recent debate regarding the impact of liquidity on relative asset prices. Chapter 3 investigates the impact of parameter uncertainty on corporate bond liquidity before and after the onset of the recent crisis. Using monthly corporate bond data for the period 2005 to 2010, firm level parameters implied by a structural model of corporate debt are used to construct proxies for parameter uncertainty. I find that uncertainty about firm parameters decreases trading volume but increases bid-ask spreads and pricing bouncing in the cross-section and across time. Parameter uncertainty increases during the crisis period, and negatively impacts market liquidity. But there is weak evidence that parameter uncertainty may help forecast liquidity in the corporate bond market. Collectively the empirical results provide a rationale for time-varying liquidity dynamics in the corporate bond market.
