The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate

Size: px
Start display at page:

Download "The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate"

Transcription

1 The Ineres Rae Sensiiviy of Value and Growh Socks - Evidence from Lised Real Esae This Version: January 25, 2017 Please reques he mos recen version from he auhors Chrisian Weis, Universiy of Regensburg René-Ojas Wolering, Universiy of Regensburg Seffen Sebasian, Universiy of Regensburg Absrac This paper analyzes he reurn sensiiviy of value and growh socks o changes of five ineres rae proxies. The analysis is based on monhly daa over he 2000 o 2014 period for a global sample of 487 lised real esae companies in 24 counries. This rich seing offers subsanial heerogeneiy in ineres raes across ime and counries. We find ha value socks are more sensiive o changes in he shor-erm rae han growh socks. This is consisen wih he heory ha invesors wih a shor invesmen horizon rade-off he high iniial yield of value socks agains a lower risk shor-erm rae. In conras, growh socks are more sensiive o changes in he long-erm rae, which is consisen wih he fuure cash flows of growh socks being discouned a a higher rae. We also find ha value socks are more sensiive o changes in he credi yield. Since credi coss have a direc impac on a firm s cos of capial, his resul is consisen wih risk-based heories of he value premium, which argue ha value socks are riskier, because hey end o have higher leverage and a larger defaul probabiliy. 1

2 1 Inroducion There is a subsanial body of research examining he varying performance characerisics of value socks and growh socks. By definiion, value socks are socks wih a low raio of price o fundamenal value, while growh socks are characerized by a high price relaive o heir fundamenal value. Numerous sudies show ha value socks on average ouperform growh socks (he so-called value premium), boh for he U.S. (Rosenberg e al., 1985; Fama and French, 1992) and inernaional sock markes (Fama and French, 2012; Asness e al., 2013). There are wo key explanaory approaches for he value premium: Firs, risk-based explanaions (e.g. Davis e al 2000, Zhang 2005, Liew and Vassalou 2000) wih he assumpion of fundamenals, e.g. leverage, size, are causing he average ouperformance of value socks. Second, behavioral based explanaions which imply he reurn anomaly is due o subopimal invesor behavior (e.g. Lakonishok e al., 1994; De Bond and Thaler, 1985). In essence, he risk-based explanaions pu emphasis on idiosyncraic risk. An alernaive furher explanaion aemp for he value premium are macroeconomic facors linked wih sysemaic risk, e.g. business cycles or moneary policy (e.g. Jensen and Mercer 2002; Hahn and Lee 2006). Lewellen (1999) argues ha in asse pricing models like he CAPM (Sharpe (1964) and Linner (1965),) or he ICAPM (Meron 1973) marke reurn does no compleely capure he relevan risk in he economy, and addiional facors are required o explain expeced reurns. To address his issue, Hahn and Lee (2006) exend he hree-facor model of Fama and French (1993) by wo addiional macroeconomic variables. The defaul spread and he erm spread proxy for credi marke and he moneary policy condiions. More recenly, Lioui and Maio (2014) show ha value socks have higher ineres rae risk han growh socks, suggesing ha he value premium can be explained by changes of he moneary policy. In his paper, we sysemaically analyze wheher and o wha exen, he performance of value and growh socks can be explained by five macroeconomic facors, i.e. differen proxies of ineres raes and yield spreads. The five facors include changes of he shor-erm ineres raes (STIR), long-erm ineres raes (LTIR), he erm spread (TERM), he corporae bond yield (CBY), and he defaul spread (DEF). The corresponding research quesion is: Do he reurns of value and growh socks reac differenly o changes of various ineres rae proxies? Why are lised real esae companies paricularly qualified o analyze he ineres rae risk of value and growh socks? The commonaliy among previous research is ha hey separae value and growh socks according o heir book-o-marke raios of equiy. Thus, wheher explicily or implicily, he book value of equiy is used as he proxy for a firm's fundamenal or inrinsic value. Mos academics agree ha a firm's inrinsic value is deermined primarily by he presen value of is fuure cash flows, which is no necessarily refleced by balance shee daa. In his sudy we use a more reliable indicaor of inrinsic value, which allows us o beer disinguish beween value and growh socks. In paricular, we use a global panel of 487 lised real esae companies (REITs and REOCs) in 24 counries over he period. 2

3 Owing o heir peculiar characerisics, lised real esae companies are paricularly well-suied o sudy he impac of ineres rae changes. In paricular, here are hree obvious channels hrough which ineres raes may impac he sock marke reurns of lised real esae companies: 1) ineres rae changes impac he relaive araciveness of equiies compared o oher asse classes such as fixed income or he money marke, 2) Ineres raes impac he prices of he underlying properies of he lised real esae companies, and 3) ineres raes have a direc impac on he operaing performance, by influencing a firm s coss of deb. Combined wih he abiliy o reliably disinguish beween value and growh socks, his provides an ideal research seing o learn more abou he relaionship beween he various ineres raes and sock marke reurns. Our objecive is 1) o examine he ineres rae sensiiviy of value and growh socks, by using he NAV as he proxy for inrinsic value, and 2) o idenify differen paerns of sensiiviy for various proxies for ineres raes and yield spreads of value and growh socks, boh on a global basis. Our empirical approach is based on a monhly soring procedure. A he end of each monh, we rank all socks according o heir deviaions from inrinsic value, as measured by he NAV spread. We hen form hree porfolios whose reurns are observed over he following monh, wih he focus being on he value porfolio, which is defined as he quinile of socks wih he highes discoun o NAV. In order o examine he ineres rae sensiiviy, we conrol for ineracion effecs beween he value, middle and growh porfolio and changes of he respecive ineres rae proxy. Secondly, we conrol for risk-adjused reurns and include he ineracion erms ino four-facor models (Carhar, 1997). We find ha value socks are more sensiive o changes of he shor-erm ineres rae, he corporae bond yield, and he defaul spread. In conras, growh socks are more sensiive o changes of long-erm ineres raes and he erm spread. To he bes of our knowledge, his is he firs paper o examine he diverging ineres rae sensiiviies of value and growh socks in he conex of real esae. Furhermore, his is he firs paper o address ineres rae sensiiviies in he conex of NAVs in a global seing. The remainder of his paper is organized as follows. Secion 2 reviews he relaed lieraure, and inroduces our hypoheses. The daa is described in Secion 3. Secion 4 provides mehodology and Secion 5 he empirical resuls. Secion 6 provides he discussion of resuls and Secion 7 concludes our findings. 3

4 2 Relaed Lieraure and Hypoheses 2.1 Value Socks and Risk The raionale of he efficien marke hypoheses (EMH) of Fama (1970) is ha financial markes "a any ime 'fully reflec' all available informaion" (Fama, 1970) including such informaion as he inrinsic value of a lised company. Shiller (1981) conradics he EMH finding ha a subsanial proporion of sock volailiy is unexplained by changes of fundamenal informaion (e.g. fuure dividends). The capial asse pricing model (CAPM) of Sharpe (1964) and Linner (1965) fails o describe such reurn anomalies. These anomalies include i.a. ha he marke porfolio does no enirely explain he relevan risk in he economy o expeced reurns (Lewellen 1999) such as overreacions o new financial informaion (De Bond and Thaler 1985). Anoher reurn anomaly goes back o he work of Rosenberg e al. (1985) and Fama and French (2012), who find ha socks wih high book-o-marke raios of equiy have higher reurns han hose wih low raios (he value premium). Fama and French (1992) address his shorcoming by exending he CAPM by he wo addiional risk facors size and book-omarke. They provide evidence ha he hree-facor model has increasing explanaory power and explains risk in expeced reurns more precisely. Regarding he value premium, lieraure exhibis wo key explanaory approaches: Firs, riskbased explanaions (e.g. Davis e al 2000, Zhang 2005, Liew and Vassalou 2000) wih he assumpion ha unsysemaic sock-specific fundamenals (e.g. leverage, size) are causing he average ouperformance of value socks. The explanaion aemp refers o unsysemaic risk facors, which are non-diversifiable. Second, behavioral based explanaions, which imply he reurn anomaly is due o subopimal invesor behavior (e.g. Lakonishok e al., 1994; De Bond and Thaler, 1985). A furher explanaory approach includes risk-based explanaions regarding sysemaic risk: Macroeconomic facors. The raionale behind his approach is ha value socks are paricularly prone o macroeconomic facors and hus produce a risk premium. Lewellen (1999) argues ha value socks are paricularly sensiive o changing macroeconomic facors owing o he "disress facor" suggesed by Fama and French (1993). Jensen and Mercer (2002) provide evidence ha he moneary policy is an imporan addiional facor in explaining he risk premia of he hreefacor model. Hahn and Lee (2006) exend he hree-facor model of Fama and French (1993) by wo addiional macroeconomic variables, based on he proposiion ha he long-esablished facors marke, size and book-o-marke do no fully proxy sysemaic risk and business cycle flucuaions. The wo addiional facors are he defaul spread and he erm spread. These yield spreads are commonly used as proxies for credi marke and moneary policy condiions. Hahn & Lee (2006) provide evidence ha value socks have higher (posiive) loadings on posiive changes of he erm spread han on growh socks. Oher sudies provide evidence ha value socks are relaed o oher macroeconomic sae variables: E.g. consumpion growh (Kang e al., 2011) or marke wide flucuaions in expeced cash flows (Da and Warachka, 2009). 4

5 2.2 Ineres Rae Sensiiviy of Sock Reurns This secion will give a brief review of relevan sudies in he conex of he ineres rae sensiiviy of sock reurns. The analysis of he ineres rae sensiiviy of sock reurns has been subjec of numerous sudies in he pas. Sone (1974) as well as Lloyd and Shick (1977) were he firs analyzing he ineres sensiiviy of sock reurns employing a wo-index version of he CAPM (marke and ineres rae erms). Fama and Schwer (1977) demonsrae ha monhly changes of shor-erm ineres raes have a negaive coefficien for fuure reurns of commons socks. Several oher sudies follow a similar mehodological approach, concenraing on financial insiuions. These sudies include iner alia Chance and Lane (1980), Lynge and Zumwal (1980), Flannery and James (1984) or Bae (1990). Elyasiani and Mansur (1998) follow a ime series approach employing a GARCH-M model o analyze he ineres rae sensiiviy of bank sock reurns. 2.3 Ineres Rae Sensiiviy of Lised Real Esae Companies Beside financial insiuions, a subsanial amoun of sudies documened he ineres rae sensiiviy of lised real esae companies (REITs and REOCs). Chen and Tzang (1988) as well as Allen e al (2000) find ha US-REITs are sensiive o changes of long-erm ineres raes and shor-erm ineres raes in pars of he 1980's and 1990's. Consisen wih hese findings, Devaney (2001) repors a highly significan and negaive coefficien for monhly changes of long-erm ineres raes in explaining he excess reurns of US-REITs beween According o Devaney (2001), morgage REITs (MREITs) have a higher ineres rae sensiiviy han equiy REITs (EREITs). He e al (2003) repor similar resuls, i.e. ha MREITs are sensiive o changes o all of he seven incorporaed ineres rae proxies, while EREITs are only sensiive o changes of long-erm raes and corporae bond yields. To he conrary, Liang e al (2009) find no significan ineres rae risk facor for equiy REITs. As wih He e al (2003), Swanson e al (2002) and use a defaul and erm spread as ineres rae proxies. Their empirical resuls reveal ha REIT reurns are more sensiive o changes of he erm spread han o he defaul spread. In conras o He e al (2003), hey do no find diverging resuls for MREITs and EREITs. The majoriy of he reviewed sudies so far, are limied o U.S. daa. The paper of Akimov e al (2015) is one he few sudies analyzing global lised real esae markes. However, hey are using index level daa insead of more precise panel daa. Akimov e al (2015) demonsrae he imporance of ineres rae risk for lised real esae companies. In line wih he majoriy of previous research, hey find ha shor-erm and long-erm ineres raes are significan risk facors in explaining he reurns of lised real esae. Lizieri e al (1997) confirm he resuls of previous research as hey find an asymmeric effec of he sensiiviy of propery company share prices o ineres rae changes in he U.S. and U.K.. Amending previous research, hey hypohesize ha lised real esae companies are affeced by ineres rae changes on wo furher levels han merely he sock marke. 1. The "underlying direc [real esae] marke" level which is represened by ne asse value (NAV), appraised on a discouned cash flow basis. As ineres raes rise, he capial values of individual properies are depressed. 2. The corporae level of real esae companies is characerized by high leverage and decreasing profis as coss of borrowing increase when ineres raes rise. 5

6 To sum up, mos of he sudies have in common ha heir resuls hold rue for 1) REITs, 2) seleced coninenal markes like he U.S., 3) index level daa and 4) oudaed sample periods. We couner hese drawbacks wih a rich panel daa se focusing on REITs and REOCs in 24 counries wih a conemporary sample period ( ). The ineres rae proxies employed in previous sudies can be caegorized ino hree main caegories: 1) Shor- and long-erm ineres raes represened by -bill raes and governmen bond yields wih diverse mauriies (e.g. 10 o 15 years), 2) Corporae bond yields, and 3) yield spreads (e.g. defaul and erm spread). The sudies have in common ha he selecion of an ineres raes proxy is in mos cases inconsisen. Following Akimov e al (2015) he raionale behind he proxy selecion is in some way random and he proxies canno be incorporaed ino a model simulaneously. To address his issue, we consider he enire se of ineres rae proxies in our sudy. Moreover, we make use of he defaul and erm spread as his allows o simulaneously esing he effec of more han one ineres rae proxy in a single model. 2.4 Ineres Rae Sensiiviy of Value and Growh Socks Thus far, only few papers disinguish beween he ineres rae sensiiviy of value or growh socks. Subsanial seleced sudies include Hahn & Lee (2006), Lioui and Maio (2014) and Jensen and Mercer (2002). Their approaches and findings will be discussed in he following and shape he basis o formulae our hypoheses regarding he sensiiviy o changes of five ineres rae proxies. Shor-erm Ineres Raes In a recen sudy, Lioui and Maio (2014) employ a macroeconomic asse pricing model and find ha value socks have a sronger ineres rae risk han growh socks. They conclude ha ineres rae risk is a key facor in explaining he value premium. In heir empirical analysis, hey find ha value socks load negaively on he moneary facor, represened by he shorerm ineres rae 1 and he effecive federal funds rae as ineres rae proxies. Lioui and Maio (2014) hypohesize ha value socks are more sensiive o unexpeced decreases of shor-erm ineres raes. They propose ha value socks face coninuing underperformance for years, which is likely o induce negaive shocks in heir cash flows making hem "financially consrained hrough ime". According o Bernanke and Gerler (1995) companies under disress are especially sensiive since increasing ineres raes direcly reduce cash flows as deb expenses rise. We argue ha anoher key subjec in he conex of he reurn sensiiviy of differen ineres rae proxies is he concep of relaive araciveness amongs asse classes. Invesors, who are willing o buy shor-erm bonds, migh pursue a shor-erm invesmen horizon. Due o heir larger price-o-earnings raios, value socks have higher dividend yields. When shor-erm ineres raes fall, shor-erm invesors migh reallocae heir funds o value socks since hey generae higher (dividend) yield income in he shor run. We hus formulae our firs hypohesis regarding he sensiiviy o changes of shor-erm ineres raes as follows: 1 I.e. 3-monh T-bill rae 6

7 Hypohesis 1: The risk-adjused reurns of value socks are more sensiive o changes of shor erm ineres raes han he risk-adjused reurns of growh socks. Long-erm Ineres Raes and he Term Spread According o Campell and Viceria (2001), long-erm bonds are held by risk-averse invesors wih a long-erm invesmen horizon seeking sable cash flows and a erm premium over shorerm bonds. REITs have long been praised as a bond-like invesmen, due o heir high cash flow sabiliy. The research quesion which we seek o answer in his paper is he following: Are value REITs or growh REITs more sensiive o changes in he long erm rae? Changes in long-erm ineres raes end o be accompanied by changes in fuure expecaions. In paricular, growh socks are valued based on fuure cash flow expecaions. Increasing longerm ineres raes resul in higher discoun raes (Thorbeke 1997). Thus, fuure cash flows are discouned a higher raes, which over-proporionally affecs he marke values of growh socks. Hence, he reurns of growh socks should be more sensiive o changes in he long erm ineres rae, han he reurns of value socks. We formulae our second hypohesis accordingly: Hypohesis 2: The risk-adjused reurns of growh socks are more sensiive o changes of long erm ineres raes han growh socks. Similarly, a widening erm spread, i.e. he difference beween long-erm and shor-erm ineres raes, increases he relaive araciveness of value socks over growh socks. Hence, growh socks should also be more sensiive o changes of he erm spread han growh socks. Corporae Bond Yields and he Defaul Spread Corporae bonds represen one imporan form of deb financing for real esae companies. He e al. (2003) find ha changes of high-yield corporae bonds have he sronges explanaory power in explaining he reurns of U.S. REITs in conras o oher ineres rae proxies. Increasing corporae bond yields cause an increase of he cos of deb and hus have a negaive impac on he corporae performance (corporae level). Hahn and Lee (2006) argue ha value socks end o be higher leveraged han growh socks. Thus, increasing corporae bond yields should lead o negaive reurns as he cos of capial increases (a similar argumen is made by Bernanke and Gerler, 1995). Thus, we formulae our hird hypohesis as follows: Hypohesis 3: The risk-adjused reurns of value socks are more sensiive o changes in corporae bond yields han growh socsk. Relaed o he corporae bond yield is he defaul spread, which is defined as he difference beween he corporae bond yield and he long erm ineres rae. Fama and French (1989) argue ha he defaul spread is an indicaor for long-erm business condiions and associaed wih high expeced reurns near business cycle buss, and low expeced reurns near booms. Hence, value socks should also be more sensiive o changes in he defaul spread han growh socks. 7

8 3 Daa and Descripive Saisics 3.1 Sample Descripion Our sample is based on he FTSE EPRA/NAREIT Global Real Esae Index, which is comprised of lised companies wih "relevan real esae aciviies." Four ground rules regarding he consiuen underlying REOCs and REITs ensure sufficien index qualiy: 1) a minimum free-floa marke capializaion, 2) minimum liquidiy requiremens, 3) a minimum share of EBITDA (>75%) from relevan real esae aciviies 2, 4) publicaion of audied annual accouning reporing in English. 3 The sample period for he analysis is 2000:03 o 2014:05. To avoid survivorship bias, we consider hisoric changes of he index consiuen composiion in every monh of he period. Our final sample consiss of 487 socks from 24 counries including 345 REITs and 142 REOCs. The advanages of panel daa are iner alia increasing degrees of freedom, weakening of mulicollineariy, consrucion of more realisic behavioral models and obaining more precise esimaes of micro relaions (Hsiao 2014). 3.2 Consrucion of value and growh sock porfolios In order o consruc he value and growh sock porfolios we sor socks according o heir price deviaion from NAV. In his regard, he NAV per share (or he book value of equiy) is calculaed by dividing Daasream's "common equiy" by "number of shares." The discoun o NAV is calculaed based on he "unadjused share price" as repored by Daasream. As socks may also rade a a premium o NAV, we name our soring crieria NAV spread:, =,, (1) The major shorcoming of consrucing he global value porfolio on he (absolue) NAV spread is ha he global value porfolio can be overly exposed o counry risk. For example, if a counry is rading a depressed levels relaive o oher counries, he global value porfolio may sill include growh socks of he discoun counry. Thus, he inerpreaion of he resuls may be ambiguous. To avoid his shorcoming, we sor socks according o he relaive NAV discoun of sock i wih respec o he average NAV discoun of counry j in a given monh :,, =,,, (2) We sor he sample based on monh-end daa and consruc hree ranking porfolios. Then we observe he oal reurns of he porfolios as repored by Daasream over he following monh. The quinile wih he highes discoun o NAV forms he value porfolio (P1), he middle porfolio (P2) and he quinile of socks wih he highes NAV premiums he growh porfolio (P3). All porfolios are equally weighed. We do no consider value-weighed reurns as our sample size is relaively small, and value-weighing would pu non-essenial emphasis on he performance of individual socks. To ensure ha he resuls are no biased by exchange rae flucuaions, all reurns are denominaed in local currencies. Noe, ha in conras o he majoriy exising asse pricing sudies, we follow a monhly soring procedure, based on 2 Which is defined as "he ownership, rading and developmen of income-producing real esae 3 hp:// 8

9 Daasream's "Earnings per share repor dae (EPS)." We can hus ensure ha financial reporing daa are acually published as new porfolios are formed. For example, if he annual repor for calendar year 2014 is published in April 2015, Daasream will repor a new book value of equiy from December 2014 onward, bu we can shif his informaion by four monhs using he "Earnings per share repor dae." Financial reporing frequency is generally semiannual and may even be quarerly. Thus, NAVs may only change semiannually, bu we observe monhly changes in he book-o-marke raios due o share price flucuaions. 3.3 Ineres Rae Proxies Our panel analysis approach allows o consider ineres rae sensiiviies on individual sock level. Accordingly, he five ineres rae proxies are derived for each of he 24 counries in every monh of our panel in he 2000:03 o 2014:05 period. Wih regard o he selecion of appropriae proxies we follow previous research on ineres rae sensiiviies (e.g. He e al 2003, Hahn and Lee 2006 or Allen e al 2000, Jensen and Mercer 2002). STIR is represened by he 1-year deposi rae in each individual counry, LTIR by he 10-year governmen bond yield, CBY by he redempion yield of qualiy (invesmen grade) corporae bonds; MPR is represened by he base ineres rae of a counry's associaed cenral bank. Following Hahn and Lee 2006 and He e al 2003, he defaul spread (DEF) and erm spread (TERM) of counry j in monh are derived as follows:, =,, (3), =,, (4) The sources of he ineres rae proxies are Daasream, Morningsar and publicly accessible daabases like FRED (Federal Reserve Economic Daa) of he S. Louis FED or he Saisical Daa Warehouse of he European Cenral Bank. 3.4 Summary Saisics Table 1 conains some summary saisics on reurns and (relaive) NAV Spreads for our global sample over he 2000:03 o 2014:05 period. The able includes subpanels for he saisics of he hree porfolios value, middle and growh (Panel A-C). Panel D includes he summary saisics for he oal sample and he five ineres rae proxies. On average monhly reurn of value socks (1.44%) is noably higher han he average reurn of growh socks (0.80%) indicaing a value premium. However, he sandard deviaion reveals ha value socks are riskier han growh socks, which is in line wih previous research (e.g. Rosenberg e al. 1985). On average, he oal sample performed on average by 1.07% per monh (13.60% p.a.). The oal sample raded a an average discoun o relaive NAV of The summary saisics of he five ineres rae proxies are in line wih economic inuiion. On average, long-erm ineres raes are higher han shor-erm raes by 0.08% per monh. Alhough, long-erm raes have he leas risk as measured by monhly volailiy. Corporae bonds ouperform boh, he shor and he long-erm ineres rae, however he corporae bond yield is also associaed wih he highes risk. Table 2 conains he conemporaneous correlaion coefficiens of reurns, relaive NAV Spreads and he five ineres rae proxies. 9

10 4 Mehodology: Modelling he Ineres Rae Sensiiviy of Value and Growh Socks To deermine he ineres rae sensiiviy of he reurns of value and growh socks, we run he following regression model for he hree porfolios, which are consruced according heir relaive NAV spread. In order o conrol for differen behavior of ineres rae changes on he hree porfolios we follow Jensen and Mercer (2002) and include hree ineracion erms: R RF ( D _ Value 6 IR i 1 * IR [ RM ) ( D _ Mid 7 2 RF * IR ] SMB 3 HML ) ( D _ Growh 8 4 WML 5 * IR ) (5) where R RF is he oal reurn of he global value, middle, or growh porfolio in monh in i i excess of he one-monh risk-free rae. IRi in monh, STIR, LTIR, CBY, DEF, or TER. risk-free rae; momenum facor. SMB i, is he size facor; is he firs difference of he respecive ineres rae RM RF, i is he marke reurn in excess of he HML i, is he book-o-marke facor and WML i,, he D _ Value, D _ Mid, D _ Growh represen dummy variables aking he value 1 if a sock is associaed o in he respecive porfolio in monh. ( D _ Value* IR i, ) is he ineracion erm for he value porfolio and he respecive ineres rae proxy. We obain he four risk facors from Kenneh French's websie. 4 French's daa library provides regional facors in USD for "Asia Pacific ex Japan," "Europe," "Japan," and "Norh America," so we conver he regional USD reurns ino local currency reurns for he respecive counries. RM, SMB, HML and WML are no limied o he subsecor of lised real esae. We do so o reflec he original raionale of he Carhar four-facor model, which implies ha he risk facors are markewide and are no indusry-specific proxies for no diversifiable facor risk. As we follow an inernaional approach, i seems sraighforward o use global RM, SMB, HML and WML facors. To es Hypoheses 1-3 we also direcly conrol differences in regarding he ineres rae sensiiviy of value and growh socks by reducing he enire sample o value and growh socks and performing he following panel regression model: R RF ( D _ Value 6 IR i 1 * IR ) [ RM 2 RF ] SMB 3 HML 4 WML 5 (6) The sign and significance of he coefficien 6 in equaion (6) indicaes wheher value socks are more or less sensiive han growh sock o changes of he five ineres rae proxies. We use panel regressions wih fixed effecs o empirically es our hypoheses. 4 hp://mba.uck.darmouh.edu/pages/faculy/ken.french/daalibrary.hml 10

11 5 Empirical Resuls Tables 3 o 7 conain he regression resuls for our five ineres rae proxies (STIR, LTIR, CBY, DEF, and TERM), which are used o es our Hypoheses 1 o 3. The ables are srucured as follows: Model (1) is he base model, which esimaes he general impac of he respecive ineres rae proxy. The following hree models exend he base model by ineracion erms for he value (model 2), middle (model 3), and growh porfolio (model 4). Model (5) simulaneously includes ineracion erms for all hree porfolios. Finally, model (6), direcly es beween differences in he ineres rae sensiiviy of value and growh socks, by excluding he middle porfolio. Hence, our empirical evidence is based on he ineracion erm beween he respecive ineres rae proxy and he value indicaor variable. Table 3 conains he resuls for shor-erm ineres raes (STIR). Model (1) shows, as expeced, ha he reurns of real esae socks are negaively relaed o changes in he shor erm ineres rae in general. In model (2) he coefficien for he value porfolio ineracion erm is negaive and significan a he 1% level. This resul indicaes ha value socks are more sensiive and negaively relaed o changes of STIR han socks being in he middle and growh porfolio. Afer including he hree porfolio ineracion erms and he referred dummy variables, he resuls of he aggregae model (5) reveals ha value socks are associaed wih a more negaive coefficien (-5.38) han growh socks (-3.37). To which exen are value socks more sensiive o an increase in STIR? The regression resuls in model (6) are based on a reduced sample, which merely consiss of socks in he value and growh porfolio. Thus, he coefficien for he ineracion erm of he value porfolio reveals he reurn difference beween value and growh. For he ineracion erm beween value and STIR he coefficien is and significan a he 1% level. Tha is, in he even of an increase of STIR by 100 basis poins, he decrease of reurn for value socks is on average by pps larger han for growh socks (ceeris paribus). In summary, he Table 3 resuls are consisen wih Hypohesis 2, i.e. he risk-adjused reurns of value socks are more sensiive o changes of he shor erm raes han growh socks. Table 4 conains he regression resuls for long-erm ineres raes (LTIR). The relaed Hypohesis 2 saes ha he risk-adjused reurns of growh socks are more sensiive o longerm ineres raes changes, han hose of value socks. The regression resuls shown in Table 4 differ considerably from hose in Table 3, which is consisen wih hypoheses 1 and 2, which predic diverging ineres rae sensiiviies for value and growh socks depending on he chosen ineres rae. In model (2) he coefficien for he value porfolio ineracion erm is posiive and significan a he 1% level. In conras, models (3) and (4) reveal ha he middle and growh porfolio are more sensiive o changes in he long erm rae, i.e. when he long erm rae increases, he reurns of hese socks end o fall more han hose of value socks. The resuls shown in model (6) are consisen wih hypohesis 2. The ineracion erm beween value and LTIR is posiive (3.04) and significan a he 1% level. Tha is, in he even of an increase of LTIR by 100 basis poins, he decrease of reurn for value socks is on average by 3.04 pps smaller han for growh socks (ceeris paribus). 11

12 Table 5 repors he resuls for changes of he erm spread (TERM). Overall, he resuls are in line wih he Table 4 resuls. Value socks are associaed wih a posiive coefficien (2.07) while he coefficien for growh socks is negaive (-1.57). This resul is in line wih Hahn and Lee (2006) who repor a (posiive) loading for value socks o changes of he erm spread. Model (6) shows ha he coefficien of he ineracion erm beween value and TERM is posiive (3.54) and significan a he 1% level. Tha is, in he even of an increase of TERM by 100 basis poins, he decrease of reurn for value socks is on average by 3.45 pps smaller han for growh socks (ceeris paribus). Table 6 conains he regression resuls for he corporae bond yield. The comparison of he marginal ineres rae sensiiviies in models (2) o (4) suggess ha value socks suffer he mos when he corporae bond yield increases. This resul is suppored by model (6). The ineracion erm of value and CBY in model (6), reveals ha he difference in reurn sensiiviies beween value and growh is and significan a he 1% level. Tha is, in he even of an increase of CBY by 100 basis poins, he decrease of reurn for value socks is on average by pps larger han for growh socks (ceeris paribus). This finding is consisen wih hypohesis 3 and may be explained by he fac ha value socks end o be higher leveraged han growh socks and hus more prone o increasing cos for bond financing. Table 7 conains he resuls for defaul spread (DEF) which are similar o CBY. However, resuls of he model (6) regression reveal ha he reurn difference for changes of DEF is even larger (-4.19) and significan a he 1% level han for CBY. Hahn and Lee (2006) argue ha an increasing defaul spread (DEF) is commonly inerpreed as an indicaor for "he marke's expecaion of worsening credi marke condiions". Thus, he resuls confirm our Hypohesis 3 ha increasing corporae bond yields and defaul spread cause an increase of he cos of deb. Thus, he increase has a sronger negaive impac on he corporae performance (corporae level) and as a resul he reurns of value socks. 6 Conclusion The aim of his sudy was o examine he diverging ineres rae sensiiviies of value and growh socks. Using a global sample of real esae socks and five ineres rae proxies, we provide new insighs ino he relaionship beween ineres rae changes and he reurns of socks wih fundamenally differen characerisics. In paricular, he following resuls sand ou: Firs, value socks are more sensiive o changes of shor erm ineres raes. Due o heir low raio of price-o-fundamenal value, value socks promise higher iniial yields han growh socks. When shor erm ineres raes rise, income-oriened invesors end o remove heir funds from risky asses and reinves in he meanwhile higher-yielding risk-free rae. Second, growh socks are more sensiive o changes in he long erm rae. This is consisen wih he fuure cash flows of growh REITs being discouned a a higher rae. In conras, he more fron-loaded cash flows of value REITs are less srongly affeced by higher discoun raes. 12

13 Third, value socks are more sensiive o changes in he corporae bond yield. Credi coss have a direc impac on a firm s cos of capial. Since value socks end o use more leverage, hey are also more han proporionally affeced by higher bond raes compared o growh sock. Furhermore, our resuls suppor he "macroeconomic risk sory", which saes he value premium anomaly is relaed o value socks having larger ineres rae risk han growh socks (Lioui and Maio, 2014). 13

14 7 References Akimov, A., Sevenson, S., Zagonov, M., Public Real Esae and he Term Srucure of Ineres Raes: A Cross-Counry Sudy. The Journal of Real Esae Finance and Economics 51, doi: /s x Allen, M.T., Madura, J., Springer, T.M., REIT Characerisics and he Sensiiviy of REIT Reurns. The Journal of Real Esae Finance and Economics 21, Asness, C.S., Moskowiz, T.J., Pedersen, L.H., Value and Momenum Everywhere. The Journal of Finance 68, doi: /jofi Bae, S.C., Ineres Rae Changes and Common Sock Reurns of Financial Insiuions: Revisied. Journal of Financial Research 13, doi: /j b00537.x Barkham, R., Ward, C., Invesor Senimen and Noise Traders: Discoun o Ne Asse Value in Lised Propery Companies in he U.K. Journal of Real Esae Research. Bernanke, B.S., Gerler, M., Inside he black box: he credi channel of moneary policy ransmission. Naional bureau of economic research. Brounen, D., Laak, M., Undersanding he Discoun: Evidence from European Propery Shares. Journal of Real Esae Porfolio Managemen 11, Campbell, J.Y., Viceira, L.M., Who Should Buy Long-Term Bonds? The American Economic Review 91, Carhar, M.M., On persisence in muual fund performance. The Journal of finance 52, Chance, D.M., Lane, W.R., A Re-Examinaion of Ineres Rae Sensiiviy in he Common Socks of Financial Insiuions. Journal of Financial Research 3, doi: /j b00036.x Chen, K., Tzang, D., Ineres-rae sensiiviy of real esae invesmen russ. Journal of Real Esae Research. Da, Z., Warachka, M.C., Cashflow risk, sysemaic earnings revisions, and he crosssecion of sock reurns. Journal of Financial Economics 94, doi: /j.jfineco Davis, J.L., Fama, E.F., French, K.R., Characerisics, Covariances, and Average Reurns: 1929 o The Journal of Finance 55, doi: / De BONDT, W.F.M., Thaler, R., Does he Sock Marke Overreac? The Journal of Finance 40, doi: /j b05004.x Devaney, M., Time varying risk premia for real esae invesmen russ: A GARCH-M model. The Quarerly Review of Economics and Finance 41, Elyasian E., Mansur, I., Sensiiviy of he bank sock reurns disribuion o changes in he level and volailiy of ineres rae: A GARCH-M model. Journal of Banking & Finance 22, doi: /s (98)00003-x Fama, E.F., Efficien Capial Markes: A Review of Theory and Empirical Work. The Journal of Finance 25, 383. doi: / Fama, E.F., French, K.R., Size, value, and momenum in inernaional sock reurns. Journal of Financial Economics 105, doi: /j.jfineco Fama, E.F., French, K.R., Common risk facors in he reurns on socks and bonds. Journal of Financial Economics 33, Fama, E.F., French, K.R., The Cross-Secion of Expeced Sock Reurns. The Journal of Finance 47, doi: /j b04398.x Fama, E.F., French, K.R., Business condiions and expeced reurns on socks and bonds. Journal of financial economics 25, Fama, E.F., Schwer, G.W., Asse reurns and inflaion. Journal of Financial Economics 5, doi: / x(77)

15 Flannery, M.J., James, C.M., The effec of ineres rae changes on he common sock reurns of financial insiuions. The Journal of Finance 39, Hahn, J., Lee, H., Yield spreads as alernaive risk facors for size and book-o-marke. Journal of Financial and Quaniaive Analysis 41, He, L.T., Webb, J.R., Myer, F.N., ohers, Ineres rae sensiiviies of REIT reurns. Inernaional Real Esae Review 6, Hsiao, C., Analysis of Panel Daa. Cambridge Universiy Press. Jensen, G.R., Mercer, J.M., Moneary Policy and he Cross-Secion of Expeced Sock Reurns. Journal of Financial Research 25, Kang, J., Kim, T.S., Lee, C., Min, B.-K., Macroeconomic risk and he cross-secion of sock reurns. Journal of Banking & Finance 35, doi: /j.jbankfin Lakonishok, J., Shleifer, A., Vishny, R.W., Conrarian Invesmen, Exrapolaion, and Risk. The Journal of Finance 49, doi: /j b04772.x Lee, C.M.C., Myers, J., Swaminahan, B., Wha is he Inrinsic Value of he Dow? The Journal of Finance 54, doi: / Lewellen, J., The ime-series relaions among expeced reurn, risk, and book-omarke. Journal of Financial Economics 54, Liang, Y., Prudenial, W., Webb, J., Ineremporal changes in he riskiness of REITs. Journal of Real Esae Research. Liew, J., Vassalou, M., Can book-o-marke, size and momenum be risk facors ha predic economic growh? Journal of Financial Economics 57, Linner, J., The Valuaion of Risk Asses and he Selecion of Risky Invesmens in Sock Porfolios and Capial Budges. The Review of Economics and Saisics 47, doi: / Liou A., Maio, P., Ineres Rae Risk and he Cross Secion of Sock Reurns. Journal of Financial and Quaniaive Analysis 49, doi: /s Lizier C., Sachell, S., Propery company performance and real ineres raes: a regime-swiching approach. Journal of Propery Research 14, doi: / Lizier C., Sachell, S., Worzala, E., ohers, Real ineres regimes and real esae performance: a comparison of UK and US markes. Journal of Real Esae Research. Lloyd, W.P., Shick, R.A., A Tes of Sone s Two-Index Model of Reurns. The Journal of Financial and Quaniaive Analysis 12, 363. doi: / Lynge, M.J., Zumwal, J.K., An Empirical Sudy of he Ineres Rae Sensiiviy of Commercial Bank Reurns: A Muli-Index Approach. The Journal of Financial and Quaniaive Analysis 15, 731. doi: / Meron, R.C., An Ineremporal Capial Asse Pricing Model. Economerica 41, 867. doi: / Rosenberg, B., Reid, K., Lansein, R., Persuasive evidence of marke inefficiency. Porfolio Managemen 11, doi: /jpm Sharpe, W.F., Capial asse prices: A heory of marke equilibrium under condiions of risk*. The journal of finance 19, Shiller, R.J., Do Sock Prices Move Too Much o be Jusified by Subsequen Changes in Dividends? The American Economic Review 71, Sone, B.K., Sysemaic Ineres-Rae Risk in a Two-Index Model of Reurns. The Journal of Financial and Quaniaive Analysis 9, 709. doi: / Swanson, Z., Theis, J., Casey, K.M., REIT risk premium sensiiviy and ineres raes. The Journal of Real Esae Finance and Economics 24,

16 Thorbecke, W., On sock marke reurns and moneary policy. The Journal of Finance 52, Zhang, L., The Value Premium. The Journal of Finance 60, doi: /j x 16

17 Tables Table 1: Summary Saisics of Value, Middle and Growh Porfolios Mean Sd. Deviaion Min Max Panel A: Value Porfolio Toal Reurn Rel. NAV Spread Panel B: Middle Porfolio Toal Reurn Rel. NAV Spread Panel C: Growh Porfolio Toal Reurn Rel. NAV Spread Panel D: Toal Sample Toal Reurn Rel. NAV Spread STIR LTIR CBY DEF TERM This able conains he summary saisics of oal reurns, relaive NAV spreads and ineres rae proxies for he global sample of lised real esae socks in he 2000:03 o 2014:05 period. All saisics are in monhly frequency and %. Panel A conains he daa for he sample of value socks; Panel B he sample of he middle porfolio and Panel C he sample of growh socks. 17

18 Table 2: Correlaion of reurns, relaive NAV spreads and ineres rae proxies TR Rel. NAVS STIR LTIR CBY DEF TERM Panel A: Conemporaneous correlaions TR 1.00 Rel. NAVS Spread_ STIR *** LTIR *** *** 1.00 CBY *** *** 0.45 *** 1.00 DEF *** *** 0.84 *** 1.00 TERM 0.09 *** *** *** *** *** 1.00 Panel B: Lagged correlaions Toal Reurn_ *** *** *** *** 0.10 *** Rel. NAV *** Spread_-1 STIR_ *** *** 0.77 *** 0.44 *** 0.02 *** *** LTIR_ *** *** 0.99 *** 0.45 *** *** *** CBY_ *** 0.44 *** 0.97 *** 0.81 *** *** DEF_ *** *** *** 0.80 *** 0.96 *** *** TERM_ *** *** *** *** *** 0.97 *** 18

19 Table 3: Shor-erm ineres rae (STIR) sensiiviy of value socks and growh socks (1) (2) (3) (4) (5) (6) d_stir_ ** (-3.13) (-0.85) *** (-3.40) *** (-3.48) 3.33 * (2.05) 0.15 (0.34) d_stir*d.value_ *** (-4.13) d_stir*d.mid_ 0.67 (1.78) d_stir*d.growh_ 0.69 (1.46) D.Value(P1)_ 0.01 *** (4.41) D.Mid(P2)_ 0.00 * (2.08) D.Growh(P3)_ *** (-7.19) ** (-3.22) * (-2.22) * (-2.01) (-0.32) (-1.76) *** (-3.95) *** (-3.75) 0.01 *** (4.47) RM_ 0.90 *** (89.62) 0.90 *** (89.74) 0.90 *** (89.65) 0.90 *** (89.68) 0.90 *** (89.75) 0.99 *** (58.99) SMB_ *** (-7.90) *** (-7.91) *** (-7.89) *** (-8.03) *** (-7.92) (-1.17) HML_ 0.34 *** (21.06) 0.34 *** (20.91) 0.34 *** (21.11) 0.34 *** (21.13) 0.34 *** (20.79) 0.51 *** (19.14) WML_, *** (-24.56) *** (-24.39) *** (-24.49) *** (-24.61) *** (-24.44) *** (-18.04) Consan 0.00 *** (8.72) 0.00 *** (4.79) 0.00 ** (3.18) 0.01 *** (11.24) 0.01 ** (2.95) * (-2.40) Observaions Adjused R This able conains he regression resuls in erms of he reurn sensiiviy of value and growh socks o monhly changes of shor-erm ineres raes (STIR). The dependen variable is he monhly oal reurn in excess of he risk-free rae of 487 global lised real esae socks in he 2000:03 o 2014:05 period. P1 represens he value porfolio, P2 he middle porfolio and P3 he growh porfolio consruced according o NAV spread in he previous monh. The ineres rae sensiiviy of value and growh socks is measured by ineracing he monhly changes of STIR wih he respecive dummy variable for each porfolio. Models (1) o (5) are esimaed based on he full sample while model (6) is esimaed based on a sample reduced o P1 and P3 in order o conrol for he direc relaionship beween value and growh socks. RM, SMB, HML and WML represen he four-facor-model conrol variables. The models are 19

20 Table 4: Long-erm ineres rae (LTIR) sensiiviy of value socks and growh socks (1) (2) (3) (4) (5) (6) d_ltir_ *** (-12.96) *** (-14.53) *** (-6.30) *** (-10.19) 2.45 (1.54) *** (-8.97) d_ltir*d.value_ 3.11 *** (6.67) d_ltir*d.mid_ *** (-4.00) d_ltir*d.growh_ ** D.Value(P1)_ 0.01 *** (4.86) D.Mid(P2)_ 0.00 (1.87) (-3.08) D.Growh(P3)_ *** (-7.35) (-1.71) *** (-3.66) *** (-3.85) 0.00 (0.21) (-1.40) *** (-3.65) 3.04 *** (4.98) 0.01 *** (4.84) RM_ 0.93 *** (90.54) 0.93 *** (90.65) 0.93 *** (90.60) 0.93 *** (90.59) 0.93 *** (90.67) 1.01 *** (59.23) SMB_ *** (-6.19) *** (-6.49) *** (-6.24) *** (-6.33) *** (-6.51) (-0.27) HML_ 0.33 *** (20.66) 0.33 *** (20.56) 0.33 *** (20.63) 0.33 *** (20.73) 0.33 *** (20.43) 0.51 *** (19.31) WML_, *** (-25.62) *** (-25.41) *** (-25.63) *** (-25.62) *** (-25.55) *** (-18.74) Consan 0.00 *** 0.00 *** 0.00 ** 0.01 *** 0.01 * ** (7.93) (3.84) (2.91) (10.67) (2.48) (-3.00) Observaions Adjused R This able conains he regression resuls in erms of he reurn sensiiviy of value and growh socks o monhly changes of long-erm ineres raes (LTIR). The dependen variable is he monhly oal reurn in excess of he riskfree rae of 487 global lised real esae socks in he 2000:03 o 2014:05 period. P1 represens he value porfolio, P2 he middle porfolio and P3 he growh porfolio consruced according o NAV spread in he previous monh. The ineres rae sensiiviy of value and growh socks is measured by ineracing he monhly changes of LTIR wih he respecive dummy variable for each porfolio. Models (1) o (5) are esimaed based on he full sample while model (6) is esimaed based on a sample reduced o P1 and P3 in order o conrol for he direc relaionship beween value and growh socks. RM, SMB, HML and WML represen he four-facor-model conrol variables. The models are esimaed using panel regressions wih effecs. saisics are in parenheses, * p < 0.10, ** p < 0.05, *** p <

21 Table 5: Term Spread (TERM) sensiiviy of value socks and growh socks (1) (2) (3) (4) (5) (6) d_term_ *** (-7.29) *** (-10.22) * (-2.01) *** (-4.77) (-0.53) *** (-7.18) d_term*d.value_ 3.22 *** (8.28) d_term*d.mid_ *** (-3.87) d_term*d.growh_ *** D.Value(P1)_ 0.01 *** (4.62) D.Mid(P2)_ 0.00 (1.95) (-3.66) D.Growh(P3)_ *** (-7.19) 2.07 (1.49) (-0.73) (-1.13) 0.00 (0.08) (-1.45) *** (-3.66) 3.45 *** (6.91) 0.01 *** (4.58) RM_ 0.91 *** (89.97) 0.91 *** (90.23) 0.91 *** (90.03) 0.91 *** (90.05) 0.91 *** (90.23) 0.99 *** (59.15) SMB_ *** (-6.77) *** (-7.07) *** (-6.85) *** (-6.92) *** (-7.27) (-0.69) HML_ 0.35 *** (21.59) 0.34 *** (21.47) 0.35 *** (21.65) 0.35 *** (21.65) 0.35 *** (21.61) 0.52 *** (19.54) WML_, *** (-25.44) *** (-24.89) *** (-25.29) *** (-25.44) *** (-24.90) *** (-18.31) Consan 0.00 *** 0.00 *** 0.00 *** 0.01 *** 0.01 ** * (8.82) (4.75) (3.34) (11.34) (2.63) (-2.42) Observaions Adjused R This able conains he regression resuls in erms of he reurn sensiiviy of value and growh socks o monhly changes of he Term Spread (TERM). The dependen variable is he monhly oal reurn in excess of he risk-free rae of 487 global lised real esae socks in he 2000:03 o 2014:05 period. P1 represens he value porfolio, P2 he middle porfolio and P3 he growh porfolio consruced according o NAV spread in he previous monh. The ineres rae sensiiviy of value and growh socks is measured by ineracing he monhly changes of TERM wih he respecive dummy variable for each porfolio. Models (1) o (5) are esimaed based on he full sample while model (6) is esimaed based on a sample reduced o P1 and P3 in order o conrol for he direc relaionship beween value and growh socks. RM, SMB, HML and WML represen he four-facor-model conrol variables. The models are esimaed using panel regressions wih effecs. saisics are in parenheses, * p < 0.10, ** p < 0.05, *** p <

22 Table 6: Corporae Bond Yield (CBY) sensiiviy of value socks and growh socks (1) (2) (3) (4) (5) (6) d_cby_ *** (-23.99) *** (-20.88) *** (-12.44) *** (-24.33) 0.51 (0.88) *** (-4.62) d_cby*d.value_ *** (-9.74) d_cby*d.mid_ (-1.16) d_cby*d.growh_ 1.10 *** D.Value(P1)_ 0.01 *** (3.50) D.Mid(P2)_ 0.00 * (2.23) (6.20) D.Growh(P3)_ *** (-7.21) *** (-7.74) *** (-4.11) * (-2.46) (-0.67) (-1.82) *** (-4.06) *** (-10.70) 0.01 *** (3.93) RM_ 0.84 *** (81.68) 0.84 *** (81.82) 0.84 *** (81.69) 0.84 *** (81.83) 0.84 *** (81.81) 0.94 *** (55.36) SMB_ *** (-6.63) *** (-6.82) *** (-6.57) *** (-6.68) *** (-6.87) (-0.45) HML_ 0.37 *** (23.26) 0.36 *** (22.86) 0.37 *** (23.30) 0.37 *** (23.42) 0.36 *** (22.89) 0.52 *** (19.69) WML_, *** (-23.26) *** (-22.55) *** (-23.31) *** (-23.29) *** (-22.63) *** (-16.40) Consan 0.00 *** 0.00 *** 0.00 ** 0.01 *** 0.01 ** * (8.41) (4.80) (2.90) (10.98) (3.03) (-2.22) Observaions Adjused R This able conains he regression resuls in erms of he reurn sensiiviy of value and growh socks o monhly changes of corporae bond yields (CBY). The dependen variable is he monhly oal reurn in excess of he riskfree rae of 487 global lised real esae socks in he 2000:03 o 2014:05 period. P1 represens he value porfolio, P2 he middle porfolio and P3 he growh porfolio consruced according o NAV spread in he previous monh. The ineres rae sensiiviy of value and growh socks is measured by ineracing he monhly changes of CBY wih he respecive dummy variable for each porfolio. Models (1) o (5) are esimaed based on he full sample while model (6) is esimaed based on a sample reduced o P1 and P3 in order o conrol for he direc relaionship beween value and growh socks. RM, SMB, HML and WML represen he four-facor-model conrol variables. The models are esimaed using panel regressions wih effecs. saisics are in parenheses, * p < 0.10, ** p < 0.05, *** p <

Applicability of Investment and Profitability Effects in Asset Pricing Models

Applicability of Investment and Profitability Effects in Asset Pricing Models Disponível em hp://www.anpad.org.br/rac RAC, Rio de Janeiro, v. 21, n. 6, ar. 6, pp. 851-874, Novembro/Dezembro, 2017 hp://dx.doi.org/10.1590/1982-7849rac2017170027 Applicabiliy of Invesmen and Profiabiliy

More information

INSTITUTIONAL INVESTOR SENTIMENT

INSTITUTIONAL INVESTOR SENTIMENT 9. INSTITUTIONAL INVESTOR SENTIMENT AND MARET RETURNS: EVIDENCE FROM THE TAIWAN FUTURES MARET Absrac Ralph Yang-Cheng LU 2 Hsiu-Chuan LEE 3 Peer CHIU 4 This sudy explores he dynamic relaionship beween

More information

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off? Tíulo arículo / Tíol aricle: Re-examining he risk-reurn relaionship in Europe: Linear or non-linear rade-off? Auores / Auors Enrique Salvador Aragó, Chrisos Floros, Vicen Aragó Manzana Revisa: Journal

More information

The Influence of Earnings Quality and Liquidity on the Cost of Equity

The Influence of Earnings Quality and Liquidity on the Cost of Equity Inernaional Business Research; Vol. 8, No. 4; 2015 ISSN 1913-9004 E-ISSN 1913-9012 Published by Canadian Cener of Science and Educaion The Influence of Earnings Qualiy and Liquidiy on he Cos of Equiy Ming-Feng

More information

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification * Macro-Finance Deerminans of he Long-Run Sock-Bond Correlaion: The DCC-MIDAS Specificaion * Hossein Asgharian, Lund Universiy + Charloe Chrisiansen, CREATES, Aarhus Universiy ++ and Ai Jun Hou, Sockholm

More information

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement Accouning Fundamenals and Variaions of Sock Price: Forward Looking Informaion Inducemen Sumiyana Gadjah Mada Universiy Absrac This sudy invesigaes a permanen issue abou low associaion beween accouning

More information

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis Journal of Applied Finance & Banking, vol., no. 6,, -4 ISSN: 79-658 (prin version), 79-6599 (online) Scienpress Ld, Volume-Reurn Relaionship in ETF Markes: A Reexaminaion of he Cosly Shor-Sale Hypohesis

More information

Investor Herds in the Taiwanese Stock Market

Investor Herds in the Taiwanese Stock Market Invesor Herds in he Taiwanese Sock Marke Rıza Demirer *, Chun-Da Chen ** and Ali M. Kuan *** * Souhern Illinois Universiy Edwardsville ** Tennessee Sae Universiy *** Souhern Illinois Universiy Edwardsville,

More information

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets The Spillover Effecs of U.S. and Japanese Public Informaion News in Advanced Asia-Pacific Sock Markes Suk-Joong Kim Absrac School of Banking and Finance The Universiy of New Souh Wales UNSW SYDNEY 2052

More information

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University The Long-Run Volailiy Puzzle of he Real Exchange Rae Ricardo Hausmann Kennedy School of Governmen Harvard Universiy Ugo Panizza Research Deparmen Iner-American Developmen Bank Robero Rigobon * Sloan School

More information

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich NBER WORKING PAPER ERIE A IMPLE TET OF THE EFFECT OF INTERET RATE DEFENE Allan Drazen efan Hubrich Working Paper 12616 hp://www.nber.org/papers/w12616 NATIONAL BUREAU OF ECONOMIC REEARCH 1050 Massachuses

More information

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50 Economic Compuaion and Economic Cyberneics Sudies and Research, Issue 3/2016, Vol. 50 Assisan Professor Murad A. BEIN, PhD E-mail: mbein@ciu.edu.r Deparmen of Accouning and Finance Faculy of Economics

More information

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection: = = = = = = = Working Paper A Regime Shif Model of he Recen Housing Bubble in he Unied Saes Rober Van Order Sephen M. Ross School of Business a he Universiy of Michigan Rose Neng Lai Universiy of Macau

More information

Duration models. Jean-Marie Le Goff Pavie-Unil

Duration models. Jean-Marie Le Goff Pavie-Unil Duraion models Jean-Marie Le Goff Pavie-Unil Oher erms for duraion models Duraion models: economery Survival analysis : medical sciences, demography Even hisory analysis, ransiion analysis : social sciences

More information

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach Taking Advanage of Global Diversificaion: A Muivariae-Garch Approach Elena Kaloychou *, Soiris K. Saikouras, Gang Zhao Cass Business School, Ciy Universiy London, 106 Bunhill Row, London EC1Y 8TZ Firs

More information

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES THE UNIVERITY OF TEXA AT AN ANTONIO, COLLEGE OF BUINE Working Paper ERIE Dae May 15, 013 WP # 0046FIN-0-013 Commodiy Financializaion and Herd Behavior in Commodiy Fuures Markes Rıza Demirer Deparmen of

More information

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS A REPORT PREPARED FOR THE HASS AVOCADO BOARD BY Hoy F. Carman Lan Li Richard J. Sexon 1 March 30, 2009 1 Hoy F. Carman is Professor

More information

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood Wha Deermines he Fuure Value of an Icon Wine? New Evidence from Ausralia Danielle Wood Produciviy Commission Melbourne dwood@pc.gov.au and Kym Anderson (corresponding auhor) School of Economics and Cenre

More information

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan Ou-of-Sample Exchange Rae Forecasing and Macroeconomic Fundamenals: The Case of Japan Takashi Masuki and Ming-Jen Chang * ABSTRACT: The sudy explores he exchange rae forecasing abiliy of a number of macroeconomic

More information

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES John I. CARRUTHERS *, Michael K. HOLLAR **, Gordon F. MULLIGAN *** Absrac - This paper invesigaes geographic relaionships in

More information

Analysis of Egyptian Grapes Market Shares in the World Markets

Analysis of Egyptian Grapes Market Shares in the World Markets American-Eurasian J. Agric. & Environ. Sci., 3 (4): 656-66, 008 ISSN 1818-6769 IDOSI Publicaions, 008 Analysis of Egypian Grapes Marke Shares in he World Markes Hamdi A. El- Sawalhy, Mohamed G.M. Abou

More information

Supply and Demand Model for the Malaysian Cocoa Market

Supply and Demand Model for the Malaysian Cocoa Market MPRA Munich Personal RePEc Archive Supply and Demand Model for he Malaysian Cocoa Marke Amna Awad Abdel Hameed and Akram Hasanov and Nurjihan Idris and Amin Mahir Abdullah and Faimah Mohamed Arshad and

More information

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices Universiy of Wollongong Research Online Faculy of Business - Economics Working Papers Faculy of Business 200 Tesing for he Random Walk Hypohesis and Srucural Breaks in Inernaional Sock Prices S. Chanchara

More information

Employment, Family Union, and Childbearing Decisions in Great Britain

Employment, Family Union, and Childbearing Decisions in Great Britain Employmen, Family Union, and Childbearing Decisions in Grea Briain Arnsein Aassve Simon Burgess Carol Propper Ma Dickson Conens 1. Inroducion... 1 2. Daa... 3 Union formaion and dissoluion... 3 Employmen

More information

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France The curren issue and full ex archive of his journal is available a www.emeraldinsigh.com/0144-3577.hm On he relaionship beween invenory and financial performance in manufacuring companies Vedran Capkun

More information

Price convergence in the European electricity market

Price convergence in the European electricity market Price convergence in he European elecriciy marke Dr. E. Dijkgraaf Prof.dr. M.C.W. Janssen Erasmus Compeiion and Regulaion insiue Erasmus Universiy Roerdam Augus 7 7 Conac: Elber Dijkgraaf SEOR-ECRi Erasmus

More information

Textos para Discussão PPGE/UFRGS

Textos para Discussão PPGE/UFRGS Texos para Discussão PPGE/UFRGS Programa de Pós-Graduação em Economia Universidade Federal do Rio Grande do Sul ENDOGENEITY AND NONLINEARITIES IN CENTRAL BANK OF BRAZIL S REACTION FUNCTIONS: AN INVERSE

More information

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008 Marke Overreacion and Under-reacion for Currency Fuures Prices Sephen J. Larson and Sephen E. Wilcox* Minnesoa Sae Universiy, Mankao January 2008 Sephen J. Larson, Ph.D., CFP Minnesoa Sae Universiy, Mankao

More information

Sustainability of external imbalances in the OECD countries *

Sustainability of external imbalances in the OECD countries * Susainabiliy of exernal imbalances in he OECD counries * Oscar Bajo-Rubio (Universidad de Casilla-La Mancha) Carmen Díaz-Roldán (Universidad de Casilla-La Mancha) Vicene Eseve (Universidad de Valencia

More information

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES Working Papers on Inernaional Economics and Finance DEFI 11-07 Ocober 2011 Susainabiliy of exernal imbalances in he OECD counries Oscar Bajo-Rubio Carmen

More information

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis Transmission of prices and price volailiy in Ausralian elecriciy spo markes: A mulivariae GARCH analysis Auhor Worhingon, Andrew, Kay-Spraley, Adam, Higgs, Helen Published 2005 Journal Tile Energy Economics

More information

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks Volailiy and risk spillovers beween oil, gold, and Islamic and convenional GCC banks Walid Mensi a,b, Shawka Hammoudeh c,d, Idries Mohammad Wanas Al-Jarrah e, Khamis Hamed Al-Yahyaee b*, Sang Hoon Kang

More information

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Global financial crisis and spillover effects among the U.S. and BRICS stock markets Acceped Manuscrip Global financial crisis and spillover effecs among he U.S. and BRICS sock markes Walid Mensi, Shawka Hammoudeh, Duc Khuong Nguyen, Sang Hoon Kang PII: S1059-0560(15)00227-0 DOI: doi:

More information

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract Paper for Annual Meeing 2015 Absrac World Trade Flows in Phoovolaic Cells: A Graviy Approach Including Bilaeral Tariff Raes * Asuko Masumura (Tokyo Inernaional Universiy) Absrac This paper invesigaes he

More information

CO2 Emissions, Research and Technology Transfer in China

CO2 Emissions, Research and Technology Transfer in China MPRA Munich Personal RePEc Archive CO2 Emissions, Research and Technology Transfer in China Ang, James Monash Universiy 09. February 2009 Online a hp://mpra.ub.uni-muenchen.de/13261/ MPRA Paper No. 13261,

More information

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001 Essays on Board of Direcors Exernal Connecions by Sehan Kim B.A., Applied Saisics, Yonsei Universiy, 2001 M.S., Saisics, Purdue Universiy, 2008 Submied o he Graduae Faculy of The Joseph M. Kaz Graduae

More information

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs AIJSTPME (20) 4(2): 49-65 The Design of a Forecasing Suppor Models on Demand of Durian for Expor Mares by Time Series and ANNs Udomsri N. Deparmen of Indusrial Engineering, Faculy of Engineering, King

More information

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach.

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach. Modelling Financial Markes Comovemens During Crises: A Dynamic Muli-Facor Approach. Marin Belvisi, Riccardo Pianei, Giovanni Urga February 24, 2014 We wish o hank paricipans in he Finance Research Workshops

More information

Stock Market Liberalizations and Efficiency: The Case of Latin America

Stock Market Liberalizations and Efficiency: The Case of Latin America MPR Munich Personal RePEc rchive Sock Marke Liberalizaions and Efficiency: he Case of Lain merica João Paulo Vieio and Wing-Keung Wong and Sheung Chi Chow 06 Online a hps://mpra.ub.uni-muenchen.de/68949/

More information

POLICY RELEVANCE SUMMARY

POLICY RELEVANCE SUMMARY POLICY RELEVANCE SUMMARY Ensuring Food Securiy in Ghana The Role of Maize Sorage Sysems. Paul W. Armah and Felix Asane 1 Research Findings and Policy Relevance-Summary 1. Research Framework and Objecives

More information

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking Applicaion of Peleg Model o Sudy Waer Absorpion in Bean and Chickpea During Soaking A. A. Masoumi * Assisan Professor, Deparmen of Farm Machinery. Isfahan Universiy of Technology, IUT Isfahan, Iran 8456-83

More information

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan Iner-regional Transporaion and Economic Developmen: A Case Sudy of Regional Agglomeraion Economies in Japan Jepan Wewioo a and Hironori Kao b a Deparmen of Civil Engineering, The Universiy of Tokyo 7-3-1,

More information

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE Inernaional Trade and Finance Associaion Inernaional Trade and Finance Associaion 15h Inernaional Conference Year 2005 Paper 46 THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

More information

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model D YNAMIC E CONOMETRIC M ODELS DOI: hp://dx.doi.org/10.12775/dem.2013.004 Vol. 13 (2013) 69 85 Submied Ocober 10, 2013 ISSN Acceped December 30, 2013 1234-3862 Milda Maria Burzała * Deerminaion of he Time

More information

Working Paper

Working Paper Inernaional Nework for Economic Research Working Paper 010.1 Modelling he Cyclical Behaviour of Wine Producion in he Douro Region Using a Time-Varying Parameers Approach by Mario Cunha (Universidade do

More information

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim.

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim. Hi-Sa Discussion Paper Series No.229 Esimaing Producion Funcions wh R&D Invesmen and Edogeney Young Gak Kim December 2007 Hosubashi Universy Research Un for Saisical Analysis in Social Sciences A 21s-Cenury

More information

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances MPRA Munich Personal RePEc Archive A Macro Assessmen of China Effecs on Malaysian Expors and Trade Balances Tze-Haw Chan and Hooi Hooi Lean and Chee Wooi Hooy Graduae School of Business, Universii Sains

More information

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets MPRA Munich Personal RePEc Archive Unravelling he underlying causes of price volailiy in world coffee and cocoa commodiy markes Noemie Maurice and Junior Davis UNCTAD 011 Online a hps://mpra.ub.uni-muenchen.de/43813/

More information

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire Prices of Raw Maerials, Budgeary Earnings and Economic Growh: A Case Sudy of Côe d Ivoire Nguiakam Sandrine 1 and Kabore Augusin 1 Ciaion: CTA and FARA. 2011. Agriculural Innovaions for Susainable Developmen.

More information

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS MARTA-COSTA A., MARTINHO V., SANTOS M., Regional Science Inquiry, Vol. IX, (2), 2017, pp. 97-107 97 PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS Ana MARTA-COSTA Corresponding auhor. Assisan Professor.

More information

Deakin Research Online

Deakin Research Online Deakin Research Online This is he published version: Widjaja, Wany 2010, Modelling he cooling of coffee : insighs from a preliminary sudy in Indonesia, in MERGA 2010 : Shaping he fuure of mahemaics educaion

More information

The Role of Infrastructure Investment Location in China s Western Development

The Role of Infrastructure Investment Location in China s Western Development The Role of Infrasrucure Invesmen Locaion in China s Wesern Developmen By Xubei Luo Developmen of he wesern region is vial o he balanced growh of China. Luo sudies he impacs of infrasrucure invesmen ha

More information

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley SOUTHERN JOURNAL OF AGRICULTURAL ECONOMICS DECEMBER, 1983 IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA Jonq-Ying Lee and Daniel S. Tilley Canada is he mos imporan U.S. expor

More information

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009

Working Paper Series. The reception of. in financial markets what if central bank communication becomes stale? No 1077 / august 2009 Woring Paper Series No 1077 / augus 009 The recepion of pubic signas in financia mares wha if cenra ban communicaion becomes sae? by Michae Ehrmann and David Sondermann WORKING PAPER SERIES NO 1077 / AUGUST

More information

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT In. J. Agricul. Sa. Sci., Vol. 10, No. 1, pp. 241-248, 2014 ISSN : 0973-1903 ORIGINAL ARTICLE PRODUCTION PERORMANCE O MAIZE IN INDIA : APPROACHING AN INLECTION POINT Ranji Kumar*, K. Srinivas, Naveen Kumar

More information

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model Moneary Policy Imacs on Cash Cro Coffee and Cocoa Using Srucural Vecor Error Correcion Model By Ibrahim Bamba Michael Reed Preared for resenaion a he Meeing of American Agriculural Economiss Associaion,

More information

Economics of grape production in Marathwada region of Maharashtra state

Economics of grape production in Marathwada region of Maharashtra state Volume 5 Issue 2 Sepember, 2014 179-183 e ISSN-2231-6434 Inernaional Research Journal of Agriculural Economics and Saisics Visi Us - www.researchjournal.co.in DOI : 10.15740/HAS/IRJAES/5.2/179-183 Research

More information

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of "Whole-Pod F^asgT 19?5-196l#

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of Whole-Pod F^asgT 19?5-196l# HALSEY: SOUTHERN PEAS 233 SOUTHERN PEA VARIETIES, CULTURE AND HARVESTING AS RELATED TO PRODUCTION FOR HANDLING AND PROCESSING L. H. Halsey Florida Agriculural Experimen Saion Gainesville Much emphasis

More information

Financing Decisions of REITs and the Switching Effect

Financing Decisions of REITs and the Switching Effect Financing Decisions of REITs and the Switching Effect By Lucia Gibilaro University of Bergamo Department of Management, Economics and Quantitative Methods and Gianluca Mattarocci University of Rome Tor

More information

This appendix tabulates results summarized in Section IV of our paper, and also reports the results of additional tests.

This appendix tabulates results summarized in Section IV of our paper, and also reports the results of additional tests. Internet Appendix for Mutual Fund Trading Pressure: Firm-level Stock Price Impact and Timing of SEOs, by Mozaffar Khan, Leonid Kogan and George Serafeim. * This appendix tabulates results summarized in

More information

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n.

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n. Universiy of Groningen The organizaion of he liberalized rice marke in Vienam Hai, L.T.D. IMPORTNT NOTE: You are advised o consul he ublisher's version (ublisher's PDF) if you wish o cie from i. Please

More information

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford Pub menors Offering help in overcoming he significan challenges facing pubs is he key heme of Pub Menor, he brand-new join iniiaive from Coca-Cola Enerprises Open More Business and he Publican s Morning

More information

Update to A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Update to A Comprehensive Look at the Empirical Performance of Equity Premium Prediction Update to A Comprehensive Look at the Empirical Performance of Equity Premium Prediction Amit Goyal UNIL Ivo Welch UCLA September 17, 2014 Abstract This file contains updates, one correction, and links

More information

LIQUID FLOW IN A SUGAR CENTRIFUGAL

LIQUID FLOW IN A SUGAR CENTRIFUGAL LIQUID FLOW IN A SUGAR CENTRIFUGAL C.P. Please, N.D. Fowkes, D.P. Mason, C.M. Khalique, A. Huchinson and M. C. Rademeyer Indusry represenaives Richard Loubser and Seve Davis Absrac Massecuie is a mixure

More information

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania

Effects of Policy Reforms on Price Transmission and Price Volatility in Coffee Markets: Evidence from Zambia and Tanzania Aus dem Insiu für Ernährung und Verbrauchslehre der Chrisian-Albrechs- Universiä zu Kiel Effecs of Policy Reforms on Price Transmission and Price Volailiy in Coffee Markes: Evidence from Zambia and Tanzania

More information

Volume 30, Issue 1. Gender and firm-size: Evidence from Africa

Volume 30, Issue 1. Gender and firm-size: Evidence from Africa Volume 30, Issue 1 Gender and firm-size: Evidence from Africa Mohammad Amin World Bank Abstract A number of studies show that relative to male owned businesses, female owned businesses are smaller in size.

More information

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp Jordan Journal of Mahemaics and Saisics (JJMS) 8(3), 015, pp. 57-70 FORECASTING THE TEA PRODUCTION OF BANGLADESH:APPLICATION OF ARIMA MODEL ** MD. MOYAZZEM HOSSAIN (1) AND FARUQ ABDULLA () ABSTRACT: Bangladesh

More information

Gender and Firm-size: Evidence from Africa

Gender and Firm-size: Evidence from Africa World Bank From the SelectedWorks of Mohammad Amin March, 2010 Gender and Firm-size: Evidence from Africa Mohammad Amin Available at: https://works.bepress.com/mohammad_amin/20/ Gender and Firm size: Evidence

More information

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity

The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity The Sources of Risk Spillovers among REITs: Asset Similarities and Regional Proximity Zeno Adams EBS Business School Roland Füss EBS Business School ZEW Mannheim Felix Schinder ZEW Mannheim Steinbeis University

More information

Online Appendix to The Effect of Liquidity on Governance

Online Appendix to The Effect of Liquidity on Governance Online Appendix to The Effect of Liquidity on Governance Table OA1: Conditional correlations of liquidity for the subsample of firms targeted by hedge funds This table reports Pearson and Spearman correlations

More information

Structural Reforms and Agricultural Export Performance An Empirical Analysis

Structural Reforms and Agricultural Export Performance An Empirical Analysis Structural Reforms and Agricultural Export Performance An Empirical Analysis D. Susanto, C. P. Rosson, and R. Costa Department of Agricultural Economics, Texas A&M University College Station, Texas INTRODUCTION

More information

A Note on a Test for the Sum of Ranksums*

A Note on a Test for the Sum of Ranksums* Journal of Wine Economics, Volume 2, Number 1, Spring 2007, Pages 98 102 A Note on a Test for the Sum of Ranksums* Richard E. Quandt a I. Introduction In wine tastings, in which several tasters (judges)

More information

Internet Appendix for CEO Personal Risk-taking and Corporate Policies TABLE IA.1 Pilot CEOs and Firm Risk (Controlling for High Performance Pay)

Internet Appendix for CEO Personal Risk-taking and Corporate Policies TABLE IA.1 Pilot CEOs and Firm Risk (Controlling for High Performance Pay) TABLE IA.1 Pilot CEOs and Firm Risk (Controlling for High Performance Pay) OLS regressions with annualized standard deviation of firm-level monthly stock returns as the dependent variable. A constant is

More information

Gasoline Empirical Analysis: Competition Bureau March 2005

Gasoline Empirical Analysis: Competition Bureau March 2005 Gasoline Empirical Analysis: Update of Four Elements of the January 2001 Conference Board study: "The Final Fifteen Feet of Hose: The Canadian Gasoline Industry in the Year 2000" Competition Bureau March

More information

RESULTS OF THE MARKETING SURVEY ON DRINKING BEER

RESULTS OF THE MARKETING SURVEY ON DRINKING BEER Uri Dahahn Business and Economic Consultants RESULTS OF THE MARKETING SURVEY ON DRINKING BEER Uri Dahan Business and Economic Consultants Smith - Consulting & Reserch ltd Tel. 972-77-7032332, Fax. 972-2-6790162,

More information

$ BUY STARBUCKS CORPORATION (SBUX) Rena Kaufman. Valuation Methodology. Market Data. Financial Summary (7/1/2018) Profile. Financial Analysis

$ BUY STARBUCKS CORPORATION (SBUX) Rena Kaufman. Valuation Methodology. Market Data. Financial Summary (7/1/2018) Profile. Financial Analysis STARBUCKS CORPORATION (SBUX) Market Data Market Cap (intraday): $69,991M Enterprise Value (Aug 9, 2018): $74,898M Enterprise Value/EBITDA (ttm): 14.97x Rena Kaufman $51.88 - BUY Valuation Methodology Method

More information

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012 Inernaional Journal of Buine, Humaniie and Technology Vol. 3 No. 5; May 13 The Deerminan of Supply of Kenya Major Agriculural Crop Expor from 1963 o 1 Leniy Kananu Maugu Lecurer in Economic, Chuka Univeriy

More information

The role of non-performing loans in the transmission of monetary policy

The role of non-performing loans in the transmission of monetary policy The role of non-performing loans in the transmission of monetary policy Sebastian Bredl, Deutsche Bundesbank Disclaimer: This presentation represents the authors personal opinions and does not necessarily

More information

Ethyl Carbamate Production Kinetics during Wine Storage

Ethyl Carbamate Production Kinetics during Wine Storage Ehyl Carbamae Producion Kineics during Wine Sorage J. Xue,*, F. Fu, M. Liang, C. Zhao, D. Wang, Y. Wu * () China Naional Research Insiue for Food and Fermenaion Indusries, Beijing 7, China () Deparmen

More information

FACTORS DETERMINING UNITED STATES IMPORTS OF COFFEE

FACTORS DETERMINING UNITED STATES IMPORTS OF COFFEE 12 November 1953 FACTORS DETERMINING UNITED STATES IMPORTS OF COFFEE The present paper is the first in a series which will offer analyses of the factors that account for the imports into the United States

More information

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract Asia-Paifi Ineres Rae Movemens: A Tale Of A Two-Horse Sleig Do Quo To Nguyen, Ti Tu Ha Pi, Tuy-Duong Tô * Absra We sudy e spillover effes of e U.S. s and e euro area s maroeonomi news on e Asia-Paifi ineres

More information

Fiscal Reaction Functions of Different Euro Area Countries

Fiscal Reaction Functions of Different Euro Area Countries Fiscal Reaction Functions of Different Euro Area Countries Klaus Weyerstrass 56th SIE Annual Conference, Naples, 22-24 October 2015 Introduction sustainability of public finances Fiscal reaction functions

More information

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis

The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis The Bank Lending Channel of Conventional and Unconventional Monetary Policy: A Euro-area bank-level Analysis by U. Albertazzi, A. Nobili and F. Signoretti (Banca d Italia) Workshop : Effectiveness and

More information

Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications. Web Appendix

Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications. Web Appendix Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications By GABRIEL JIMÉNEZ, STEVEN ONGENA, JOSÉ-LUIS PEYDRÓ, AND JESÚS SAURINA Web Appendix APPENDIX A -- NUMBER

More information

GLOBAL DAIRY UPDATE KEY DATES MARCH 2017

GLOBAL DAIRY UPDATE KEY DATES MARCH 2017 MARCH 2017 GLOBAL DAIRY UPDATE European milk production decreased for the seventh consecutive month, while the US remains strong. The rate of decline in New Zealand production is easing. US exports continue

More information

DETERMINANTS OF GROWTH

DETERMINANTS OF GROWTH POLICY OPTIONS AND CHALLENGES FOR DEVELOPING ASIA PERSPECTIVES FROM THE IMF AND ASIA APRIL 19-20, 2007 TOKYO DETERMINANTS OF GROWTH IN LOW-INCOME ASIA ARI AISEN INTERNATIONAL MONETARY FUND Paper presented

More information

Syndication, Interconnectedness, and Systemic Risk

Syndication, Interconnectedness, and Systemic Risk Syndication, Interconnectedness, and Systemic Risk Jian Cai (WashU) Anthony Saunders (NYU Stern) Sascha Steffen (ESMT) Global Financial Interconnectedness Basel, 1-2 Oct 2015 1 This paper addresses the

More information

Internet Appendix. For. Birds of a feather: Value implications of political alignment between top management and directors

Internet Appendix. For. Birds of a feather: Value implications of political alignment between top management and directors Internet Appendix For Birds of a feather: Value implications of political alignment between top management and directors Jongsub Lee *, Kwang J. Lee, and Nandu J. Nagarajan This Internet Appendix reports

More information

Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008

Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008 Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008 Andreas Oehler, Bamberg University Thomas J. Walker, Concordia University Stefan Wendt, Bamberg University 2012 FMA Annual

More information

Reading Essentials and Study Guide

Reading Essentials and Study Guide Lesson 1 Absolute and Comparative Advantage ESSENTIAL QUESTION How does trade benefit all participating parties? Reading HELPDESK Academic Vocabulary volume amount; quantity enables made possible Content

More information

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang I Are Joiners Trusters? A Panel Analysis of Participation and Generalized Trust Online Appendix Katrin Botzen University of Bern, Institute of Sociology, Fabrikstrasse 8, 3012 Bern, Switzerland; katrin.botzen@soz.unibe.ch

More information

Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization. Last Updated: December 21, 2016

Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization. Last Updated: December 21, 2016 1 Notes on the Philadelphia Fed s Real-Time Data Set for Macroeconomists (RTDSM) Capacity Utilization Last Updated: December 21, 2016 I. General Comments This file provides documentation for the Philadelphia

More information

Trade Integration and Method of Payments in International Transactions

Trade Integration and Method of Payments in International Transactions Trade Integration and Method of Payments in International Transactions Veysel Avşar College of Business - TAMUCC & Alexis Habiyaremye Human Sciences Research Council Cape Town, South Africa Introduction

More information

Recent U.S. Trade Patterns (2000-9) PP542. World Trade 1929 versus U.S. Top Trading Partners (Nov 2009) Why Do Countries Trade?

Recent U.S. Trade Patterns (2000-9) PP542. World Trade 1929 versus U.S. Top Trading Partners (Nov 2009) Why Do Countries Trade? PP542 Trade Recent U.S. Trade Patterns (2000-9) K. Dominguez, Winter 2010 1 K. Dominguez, Winter 2010 2 U.S. Top Trading Partners (Nov 2009) World Trade 1929 versus 2009 4 K. Dominguez, Winter 2010 3 K.

More information

MBA 503 Final Project Guidelines and Rubric

MBA 503 Final Project Guidelines and Rubric MBA 503 Final Project Guidelines and Rubric Overview There are two summative assessments for this course. For your first assessment, you will be objectively assessed by your completion of a series of MyAccountingLab

More information

Investment Wines. - Risk Analysis. Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015

Investment Wines. - Risk Analysis. Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015 Investment Wines - Risk Analysis Prepared by: Michael Shortell & Adiam Woldetensae Date: 06/09/2015 Purpose Look at investment wines & examine factors that affect wine prices over time We will identify

More information

STATE OF THE VITIVINICULTURE WORLD MARKET

STATE OF THE VITIVINICULTURE WORLD MARKET STATE OF THE VITIVINICULTURE WORLD MARKET April 2015 1 Table of contents 1. 2014 VITIVINICULTURAL PRODUCTION POTENTIAL 3 2. WINE PRODUCTION 5 3. WINE CONSUMPTION 7 4. INTERNATIONAL TRADE 9 Abbreviations:

More information

Liquidity and Risk Premia in Electricity Futures Markets

Liquidity and Risk Premia in Electricity Futures Markets Liquidity and Risk Premia in Electricity Futures Markets IAEE Conference, Singapore, June 2017 Ivan Diaz-Rainey Associate Professor of Finance & Co-Director of the Otago Energy Research Centre (OERC) With

More information

Instruction (Manual) Document

Instruction (Manual) Document Instruction (Manual) Document This part should be filled by author before your submission. 1. Information about Author Your Surname Your First Name Your Country Your Email Address Your ID on our website

More information

Valuation in the Life Settlements Market

Valuation in the Life Settlements Market Valuation in the Life Settlements Market New Empirical Evidence Jiahua (Java) Xu 1 1 Institute of Insurance Economics University of St.Gallen Western Risk and Insurance Association 2018 Annual Meeting

More information