A reexamination of corporate sell-offs of real estate assets
A reexamination of corporate sell-offs of real estate assets
复制标题
重新审视企业抛售房地产资产
DOI：
10.1007/bf00132267
复制
发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Salil K. Sarkar
中科院分区：
文献类型：
--
作者：
G. Booth;J. Glascock;Salil K. Sarkar
这篇文章重新审视了现在被普遍接受的观念，即房地产资产的抛售为卖家提供了正回报，但对买家却没有。在前人研究的基础上，我们采用了事件研究的方法，但我们对传统的市场模型进行了修改，允许其残差(意外收益)可以用一个时变的条件方差来描述。我们还与以前的工作不同之处在于，我们的样本只包含可以精确确定日期的抛售。虽然我们在意想不到的收益序列中发现了大量的时变波动的证据，但我们的经济结果证实了传统的观点。
This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.