Suchergebnisse

This study uses a panel KSS test by Nuri Ucar and Tolga Omay (2009), with a
Fourier function based on the sequential panel selection method (SPSM)
procedure proposed by Georgios Chortareas and George Kapetanios (2009) to
test the efficiency of REIT markets in 16 countries from 28 March 2008 to 27
June 2011. A Fourier approximation often captures the behavior of an unknown
break, and testing for a unit root increases its power to do so. Moreover,
SPSM can determine the mix of I(0) and I(1) series in a panel setting to
clarify how many and which are random walk processes. Our empirical results
demonstrate that REIT markets are efficient in all sampled countries except
the UK. Our results imply that investors in countries with efficient REIT
markets can adopt more passive portfolio strategies.

This study uses the powerful nonparametric cointegration test to examine whether nonlinear cointegration exists between prices of used houses and corresponding stock markets in China and the four Asian Tigers. Then, it uses the smooth transition vector error-correction model (STVECM) to explore the adjustment efficiencies of the short-run house and corresponding stockreturn dynamics when there is disequilibrium between house and stock prices. The empirical results indicate that there is a nonlinear cointegration between the house prices and corresponding stock prices in China, South Korea, Singapore, and Taiwan, and that the speed of price adjustment to equilibrium is always greater for houses than stocks when there are large positive and negative deviations. Moreover, the short-run speed of adjustment of the large negative and positive deviations is equal in China, South Korea, and Taiwan, but unequal in Singapore. With the exception of South Korea, the results of the Granger causality test indicate that stock prices clearly lead used house prices, which means a wealth effect exists in most Asian countries. Our study confirms that the STVECM can be used to analyze the short-run adjustment efficiency of house and stock return dynamics in China, South Korea, Singapore, and Taiwan; thus, supporting models of interaction between noise and arbitrage traders.

This paper examines whether UK fund managers engage in herding behaviour in the stock market using the dynamic herding measure, whether their herding behaviour is different during bullish and bearish periods, whether most of their herding is informational, which types of informational reasons act as the main drivers of their herding and whether there are non-informational drivers of their herding. Our results reveal that UK fund managers engage in significant herding behaviour and that this behaviour does not differ significantly from bullish to bearish stock markets. Moreover, we confirm that there are weak positive correlations between fund managers? herding and stock returns within the subsequent year, which indicates that their herding is mainly informational. To improve portfolio performance, other investors could follow UK fund managers and purchase stocks overbought by them with at least 15 traders quarterly in the following one-year period, particularly for growth-type, sectorspecific and international-type funds. Moreover, because they are more likely to herd in large-capitalisation securities, the informational reasons driving managers? herding behaviour are mainly related to investigative herding. We also find that growth-type and international-type funds are more likely to herd with similar- type funds. This finding may result from reputational and characteristic herding, which illustrates that non-informational reasons for managers? herding still exist.

This study aims to explore whether various characteristics of chief executive officers (CEO) enhance the impact of CEO overconfidence on a firm's value after mergers and acquisitions. The study finds that overconfident CEOs have a positive impact on firm value after mergers and acquisitions. The study also shows that overconfidence amongst CEOs can help to explain merger and acquisition decisions and the likelihood of pursuing acquisitions. Young CEOs were also found to significantly increase the impact of CEO overconfidence on a firm's value after mergers and acquisitions, while female CEOs were found to be more risk averse when compared to their male peers, with lower leverage and less volatility in their firms when compared to firms run by male CEOs.