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Captive Financing Arrangements and Information Asymmetry: The Case of REITs
12 references·2 citing·53 second hop
Captive Financing Arrangements and Information Asymmetry: The Case of REITs (1995)Captive Financing Arrangements and Inform…Accounts Receivable Management Policy: Theory and Evidence (1992)Accounts Receivable Managemen…REITs as Captive-Financing Affiliates: Impact on Financial Performance (1991)REITs as Captive-Financing Af…A Day-End Transaction Price Anomaly (1989)A Day-End Transaction Price A…Insider Holdings and Perceptions of Information Asymmetry: A Note (1988)Insider Holdings and Percepti…Estimating the components of the bid/ask spread (1988)Estimating the components of …The Financial Performance Of Real Estate Investment Trusts (1986)The Financial Performance Of …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Captive Finance Subsidiaries and the M-Form Hypothesis (1981)Captive Finance Subsidiaries …THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…CAPITAL STRUCTURE REARRANGEMENTS AND ME‐FIRST RULES IN AN EFFICIENT CAPITAL MARKET (1977)CAPITAL STRUCTURE REARRANGEME…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market (1972)Competition and the Pricing o…Introducing “Focused Firms”: Implications from REIT Prime Operating Revenue (2021)Introducing “Focused Firms”: …The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements (2000)The Changing Asymmetric Infor…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Hedging and Joint Production: Theory and Illustrations (1980)Performance Evaluation of Finite-Life Real Estate Investment Trusts (1989)The inflation‐hedging characteristics of Australian commercial property: 1984‐1995 (1996)Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs) (2008)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)Size-related anomalies and stock return seasonality (1983)Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator (1990)The italian stock market (1990)Quantifying stock-price response to demand fluctuations (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation (1982)THE IMPACT OF BOND RATING CHANGES ON COMMON STOCKS AND BONDS: TESTS OF THE WEALTH REDISTRIBUTION HYPOTHESIS (1988)EXTENDING TRADE CREDIT AND FINANCING RECEIVABLES (1994)The Cost of Transacting (1968)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)The Structure of Corporate Ownership: Causes and Consequences (1985)Trading volume, bid-ask spread, and price volatility in futures markets (2000)External Monitoring of Property Appraisal Estimates and Information Asymmetry (2002)Embedding sustainability in risk management: The impact of environmental, social, and governance ratings on corporate financial risk (2022)The Nature of the Firm (1937)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The Effect of Credit Market Competition on Lending Relationships (1995)A more complete conceptual framework for SME finance (2006)Modern Factor Analysis (1968)Short-term trading around ex-dividend days (1988)Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? (1997)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)
this work references cited by second hop

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1992Accounts Receivable Management Policy: Theory and Evidence651 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1988Insider Holdings and Perceptions of Information Asymmetry: A Note214 cited
  • 1989A Day-End Transaction Price Anomaly200 cited
  • 1972Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market178 cited
  • 1977CAPITAL STRUCTURE REARRANGEMENTS AND ME‐FIRST RULES IN AN EFFICIENT CAPITAL MARKET74 cited
  • 1986The Financial Performance Of Real Estate Investment Trusts69 cited
  • 1991REITs as Captive-Financing Affiliates: Impact on Financial Performance39 cited
  • 1981Captive Finance Subsidiaries and the M-Form Hypothesis23 cited

Cited by

  • 2000The Changing Asymmetric Information Component of REIT Spreads: A Study of Anticipated Announcements27 cited
  • 2021Introducing “Focused Firms”: Implications from REIT Prime Operating Revenue16 cited

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