scholarly journals Liquidity in global real estate securities markets

2016 ◽  
Vol 34 (4) ◽  
pp. 321-346 ◽  
Author(s):  
Nicole Lux ◽  
Alex Moss
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Market Liquidity ◽  
Company Size ◽  
Small Companies ◽  
Stock Performance ◽  
Content Type ◽  
The Usa ◽  
Market Capitalisation ◽  
The Impact

Purpose – The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. In a previous study the authors examined the impact of liquidity on the valuation of European real estate shares. The result showed that there is a strong relationship between liquidity, valuation and market capitalisation post the Global Financial Crisis. Design/methodology/approach – The paper studies the linkages between regional market liquidity and company size for 60 listed real estate companies globally and determines the key drivers of company stock market liquidity pre- and post-crisis as well as the impact on stock performance. Analysis of variance is used to test cross-sectional independence in market liquidity combined with the Tukey’s post hoc test. The selected test indicators of liquidity to capture market depth and market tightness are daily stock turnover as percentage of market capitalisation and daily bid-ask spreads. Findings – Findings confirm previous studies that market liquidity factors are correlated globally over time indicating markets interdependence. However, sample groups by company size and geography form independent samples with different sample means, thus specific liquidity levels in each market may be different. First, stock turnover levels have not recovered post-crisis to pre-crisis levels in the majority of markets while spreads have continued moving downward to nearly insignificant levels in line with the rest of the equity market. Second, with regards to stock performance, the European bias previously detected is not apparent in the USA, and there is no evidence of the small cap vs large cap effect of small companies achieving superior returns, although smaller companies have outperformed in Europe and Asia in each of the last three years (2012-2014). Practical implications – The key implication is that although spread levels for smaller companies are higher, implying a slight risk premium when investing in small companies, this did not manifest into consistent superior stock market returns in the periods studied. In a mature market such as the USA or UK, liquidity levels in terms of stock turnover are higher and spreads are lower thus reducing trading costs, making them more attractive for investors. Originality/value – This research brings together previous analysis on stock market liquidity and stock performance on a global market level. It further tests the dependence of market liquidity on two key indicators, namely, geography and company size and analyses market changes with respect to liquidity pre- and post-crisis.

Selling a house and the decision to use a real estate broker in Norway

2015 ◽  
Vol 33 (2) ◽  
pp. 173-186
Author(s):  
Mary Ann Stamsø
Keyword(s):  
Real Estate ◽  
Web Sites ◽  
Property Management ◽  
Real Estate Broker ◽  
Sales Price ◽  
Content Type ◽  
Sales Process ◽  
The Usa ◽  
The Impact ◽  
Estate Broker

Purpose – The purpose of this paper is to examine the widespread of property sellers choosing to sell by themselves or through an estate agent, what characterises them and the reason for their choice. In addition the paper contains comparisons of the gap between sales price and asking price between the sales methods and satisfaction with the sales process. This study is the first study of these phenomena carried out in Norway. Design/methodology/approach – The data used for this study was obtained from a national survey including 1,649 house sellers. A logistic regression analysis is used to analyse the impact of household’s characteristics on the sales method. Findings – The main findings of this study are that 83 per cent of the house sellers used an estate agent through the whole sales process and differences in the choices are related to urbanisation, age and education. The most important reason for preferring a real estate broker is that doing the sale on your own is considered too much work. Conversely, the most important reason for doing the sale on your own is that estate agents are too expensive. Those selling without an estate agent were more satisfied and the gap between sales price and asking price was smaller than for those selling through a real estate broker. Originality/value – Issues concerning competition within the market for estate agents should be central topics for property management. Property sellers selling their property by themselves are an important contribution to increase the competition in the market for estate agents. This issue has not been on the agenda in Norway, or in Europe, in the same way as in the USA. This is probably due to the complexity in the legislation and strict laws within property sales in Central and Southern Europe. However, in Norway, UK and in the Nordic countries, the legal system is not complicated. It is rather the lockout of private individuals from the housing web sites and the fact that the property sellers are not familiar with this kind of transaction that has prevented property sellers to sell their house by themselves. Today Norway is one of few countries with a booming housing market, which also has increased the commission for estate agents. From 2010 private individuals got access to advertise their house on the housing web sites in Norway. These have influenced the focus on alternative sales methods.

Ownership concentration, earnings management and stock market liquidity: evidence from Malaysia

2017 ◽  
Vol 17 (3) ◽  
pp. 490-510 ◽  
Author(s):  
Hamdan Amer Al-Jaifi
Keyword(s):  
Stock Market ◽  
Earnings Management ◽  
Instrumental Variables ◽  
Generalized Method Of Moments ◽  
Market Liquidity ◽  
Ownership Concentration ◽  
Estimation Methods ◽  
Content Type ◽  
Stock Market Liquidity ◽  
The Impact

Purpose This paper aims to examine whether ownership concentration and earnings management affect the stock market liquidity of Malaysian firms. Design/methodology/approach This study uses a sample of 2,020 yearly firm observations in Bursa Malaysia over the period 2009-2012. The ordinary least square regression is used to examine the relationships. The study undertakes a sensitivity test by regressing the main study variables by using different measurements. Another robustness test is then used, where a regression based on the change in variables and a one-year lag of the independent variables are used. Furthermore, to alleviate the concern of possible endogeneity, the simultaneity and reverse causality are checked using the lag of the dependent variable, fixed effect regression, two-stage least squares using the instrumental variables and the generalized method of moments using instrumental variables analysis. Findings The study finds that firms with a high level of ownership concentration have discrepancies in information between informed and uninformed traders, which impair the stock market liquidity. In addition, this study finds that firms with high earnings management experience greater liquidity. A possible explanation for this is that firms might manage earnings to convey private information to enhance the information content of the earnings. Overall, the evidence suggests that manipulating earnings signals information informatively, particularly in a country with a higher level of ownership concentration and a higher likelihood of expropriating minority shareholders. Originality/value This study enriches the limited empirical research devoted to the impact of earnings management and ownership concentration on stock market liquidity especially in the context of emerging economies. The findings of this study are robust to alternative liquidity measurements, to alternative estimation methods, and to endogeneity bias.

Does gender diversity on boards reduce information asymmetry problems? Empirical evidence from the French market

2019 ◽  
Vol 10 (2) ◽  
pp. 144-166
Author(s):  
Nadia Loukil ◽  
Ouidad Yousfi ◽  
Raissa Wend-kuuni Yerbanga
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Gender Diversity ◽  
Market Liquidity ◽  
Idiosyncratic Volatility ◽  
Independent Directors ◽  
Corporate Boards ◽  
Content Type ◽  
Bid Ask Spread ◽  
The Impact

Purpose The purpose of this paper is to investigate the effect of female members in boards of directors on asymmetric information in the French stock market. Design/methodology/approach The authors use two proxies for asymmetric information: the idiosyncratic volatility and the bid-ask spread. This study is conducted on all listed firms in the SBF 120 index between 2002 and 2012. Findings Results show that gender diversity in boardrooms has a negative effect on the level of private information in stock markets and reduces the bid-ask spread. However, these effects are significant in family-controlled firms: female inside directors significantly increase the idiosyncratic volatility and the bid-ask spread, while female independent directors decrease both proxies for stock market liquidity. Research limitations/implications Our empirical findings contribute to the current debate on the benefits of gender diversity on corporate boards from the market perspective. It shows that, under specific conditions, financial markets could be receptive to the presence of female directors in boardrooms. Practical implications Practitioners and policymakers advocate the benefits of gender diversity on corporate boards. This paper shows that when the protection of minority shareholders is poor, the stock market is receptive to the presence of women independent directors, only in family controlled firms. This is a further argument that could help women to overcome glass-ceiling barriers they usually face to achieve top management positions. Originality/value This paper provides support for the increased attention paid to gender-diverse boards. It addresses the market sensitivity toward the presence of women members in French boardrooms and their positions. This is the first paper, to the best of our knowledge, to address how appointing women to different positions in the boardroom could provide signals to investors in the presence of asymmetric information. French firms are mostly family controlled. Thus, the findings bring valuable information of the impact of board diversity on the stock market considering family and nonfamily firms.

scholarly journals Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anas Alaoui Mdaghri ◽  
Abdessamad Raghibi ◽  
Cuong Nguyen Thanh ◽  
Lahsen Oubdi
Keyword(s):  
Stock Market ◽  
Negative Impact ◽  
Market Liquidity ◽  
Mena Region ◽  
Stock Market Returns ◽  
Content Type ◽  
Mena Countries ◽  
Global Pandemic ◽  
Stock Market Liquidity ◽  
The Impact

PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity.Research limitations/implicationsThis paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions.Originality/valueWhile most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.

scholarly journals The impact of liquidity on the valuation of European real estate securities

2014 ◽  
Vol 7 (2) ◽  
pp. 139-157 ◽  
Author(s):  
Alex Moss ◽  
Nicole Lux
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Equity Capital ◽  
Market Valuation ◽  
Liquidity Premium ◽  
Content Type ◽  
Stock Market Valuation ◽  
The Uk ◽  
Real Estate Securities ◽  
The Impact

Purpose – The purpose of this paper is to test the hypothesis that the valuations of European real estate securities are, in part, determined by the relative liquidity in the companies’ shares. Design/methodology/approach – Six groups are derived for our sample of European listed real estate companies. They are split between the UK and Europe, and then both sets are categorised by liquidity as large, medium or small. These are then tested for market depth, market tightness and difference in valuations over the cycle 2002-2012. Intuitively, it can be expected that the stock market valuation premium for companies with greater liquidity increases post the global financial crisis. Findings – The key discriminating variable that drives companies’ liquidity and valuations is market capitalisation. For both the UK and Europe, the valuation premium of larger companies vs small companies has increased significantly since 2008 (by 20-40 per cent), which can be attributed to the increased value placed on liquidity post GFC. Research limitations/implications – The sample size is relatively small, and subject to individual company influences on stock market valuation. Practical implications – The key implications from the findings are the cost and quantum of new equity capital available to companies with superior liquidity, and the possibility of exclusion from portfolios for companies with low liquidity. Originality/value – Previous studies have focussed on returns for measuring a liquidity premium. This study focusses on relative valuations and how the liquidity premium changes throughout the cycle.

Santa Claus Rally and firm size

2016 ◽  
Vol 42 (8) ◽  
pp. 817-829 ◽  
Author(s):  
Kenneth M Washer ◽  
Srinivas Nippani ◽  
Robert R Johnson
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Firm Size ◽  
Convincing Evidence ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Santa Claus ◽  
The Usa ◽  
The Impact

Purpose – Several articles in the popular press have detailed an end-of-year anomaly known as the Santa Claus Rally, a period best defined as the last five trading days of December and the first two trading days of January. The purpose of this paper is to examine US stock market returns over this period from 1926 to 2014. Design/methodology/approach – The authors examine the Santa Claus Rally by relating it to firm size in the stock markets of the USA. The Santa Claus Rally consists of the last five trading days in December and the first two in January. The authors use t-tests, non-parametric test and regression analysis to determine if investors in small firms get superior returns over the period 1926-2014. Findings – The authors find that returns are generally higher during the period and that the effect is considerably stronger for small-firm portfolios relative to large capitalization portfolios. The authors also provide convincing evidence that the three most important trading days (especially for small stock portfolios) are the last trading day in December and the first two trading days in January. Research limitations/implications – The authors only check the markets in the USA. Market makers can use this to get significantly high returns during the Christmas-New Year period. The study shows for the first time that there is a size effect as part of the Santa Claus Rally. Practical implications – This is the first study to show that Santa Claus Rally exists for a long time in the USA. It is the first study to show that there is a size effect in Santa Claus Rally. Market participants could get significantly higher returns by investing or being invested in the stock market during this period. Social implications – The impact of the holiday season on stock market returns. Originality/value – This is the first major academic study to examine Santa Claus Rally in this much detail. The authors not only show that the rally exists, the authors show that it is based on firm size and has been in existence for nearly 90 years in the USA.

Driving forces for the US residential housing price: a predictive analysis

2019 ◽  
Vol 9 (4) ◽  
pp. 515-529
Author(s):  
Amirhosein Jafari ◽  
Reza Akhavian
Keyword(s):  
Real Estate ◽  
Predictive Models ◽  
Driving Forces ◽  
Housing Prices ◽  
Housing Price ◽  
Data Set ◽  
Content Type ◽  
The Usa ◽  
Decision Making Processes ◽  
The Impact

Purpose The purpose of this paper is to determine the key characteristics that determine housing prices in the USA. Data analytical models capable of predicting the driving forces of housing prices can be extremely useful in the built environment and real estate decision-making processes. Design/methodology/approach A data set of 13,771 houses is extracted from the 2013 American Housing Survey (AHS) data and used to develop a Hedonic Pricing Method (HPM). Besides, a data set of 22 houses in the city of San Francisco, CA is extracted from Redfin real estate brokerage database and used to test and validate the model. A correlation analysis is performed and a stepwise regression model is developed. Also, the best subsets regression model is selected to be used in HPM and a semi-log HPM is proposed to reduce the problem of heteroscedasticity. Findings Results show that the main driving force for housing transaction price in the USA is the square footage of the unit, followed by its location, and its number of bathrooms and bedrooms. The results also show that the impact of neighborhood characteristics (such as distance to open spaces and business centers) on the housing prices is not as strong as the impact of housing unit characteristics and location characteristics. Research limitations/implications An important limitation of this study is the lack of detailed housing attribute variables in the AHS data set. The accuracy of the prediction model could be increased by having a greater number of information regarding neighborhood and regional characteristics. Also, considering the macro business environment such as the inflation rate, the interest rates, the supply and demand for housing, and the unemployment rates, among others could increase the accuracy of the model. The authors hope that the presented study spurs additional research into this topic for further investigation. Practical implications The developed framework which is capable of predicting the driving forces of housing prices and predict the market values based on those factors could be useful in the built environment and real estate decision-making processes. Researchers can also build upon the developed framework to develop more sophisticated predictive models that benefit from a more diverse set of factors. Social implications Finally, predictive models of housing price can help develop user-friendly interfaces and mobile applications for home buyers to better evaluate their purchase choices. Originality/value Identification of the key driving forces that determine housing prices on real-world data from the 2013 AHS, and development of a prediction model for housing prices based on the studied data have made the presented research original and unique.

Herding and BRICS markets: a study of distribution tails

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Vijay Kumar Shrotryia ◽  
Himanshi Kalra
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Chinese Stock Market ◽  
Content Type ◽  
Banking Policy ◽  
Time Period ◽  
The Usa ◽  
Data Points ◽  
The Masses ◽  
The Impact

PurposeThe present study looks into the mimicking behaviour in both normal and asymmetric scenarios. It, then, considers the contagion between the USA and the BRICS stock markets. Finally, it examines herd behaviour in the wake of a major banking policy change concerning the bloc under study.Design/methodology/approachThe current empirical analysis employs daily, weekly and monthly data points to estimate relevant herding parameters. Quantile regression specifications of Chang et al. (2000)'s dispersion method have been applied to detect herd activity. Also, dummy regression specifications have been used to examine the impact of various crises and strategically crucial events on the propensity to herd in the BRICS markets. The time period under consideration ranges from January 2011 until May 2019.FindingsThe relevant herding coefficients turn insignificant in most cases for normal and asymmetric scenarios except for China and South Africa. This can be traced to the anti-herding behaviour of investors, where individuals tend to diverge from the consensus. However, turbulence makes all stock markets to show some collective trading except Russia. Further, the Chinese stock market seems immune to the frictions in the US stock market. Finally, the Indian and South African markets witness significant herding during the formation of a common depository institution.Practical implicationsMost stock markets seem to herd during turbulence. This revelation is of strategic importance to the regulators and capital market managers. They have to be cautious during crises periods as the illusion of being secured with the masses ends up creating unprecedented frictions in the financial markets.Originality/valueThe present study seems to be the very first attempt to test the relevant distributions' tails for convergent behaviour in the BRICS markets.

International stock market liquidity: a review

2016 ◽  
Vol 42 (2) ◽  
pp. 118-135 ◽  
Author(s):  
Rui Ma ◽  
Hamish D. Anderson ◽  
Ben R. Marshall
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Liquidity ◽  
Short Sales ◽  
Liquidity Premium ◽  
Content Type ◽  
International Stock Markets ◽  
Stock Market Liquidity ◽  
Dark Pools ◽  
The Impact

Purpose – The purpose of this paper is to review the literature on liquidity in international stock markets, highlights differences and similarities in empirical results across existing studies, and identifies areas requiring further research. Design/methodology/approach – International cross-country studies on stock market liquidity are categorized and reviewed. Important relevant single-country studies are also discussed. Findings – Market liquidity is influenced by exchange characteristics (e.g. the presence of market makers) and regulations (e.g. short-sales constraints). The literature has identified the most appropriate liquidity measures for global research, and for emerging and frontier markets, respectively. Major empirical facts are as follows. Liquidity co-varies within and across countries. Both the liquidity level and liquidity uncertainty are priced internationally. Liquidity is positively associated with firm transparency and share issuance, and negatively related to dividends paid out. The impact of internationalization on liquidity is not universal across firms and countries. Some suggested areas for future studies include: dark pools, high-frequency trading, commonality in liquidity premium, funding liquidity, liquidity and capital structure, and liquidity and transparency. Research limitations/implications – The paper focusses on international stock markets and does not consider liquidity in international bond or foreign exchange markets. Originality/value – This paper provides a comprehensive survey of empirical studies on liquidity in international developed and emerging stock markets.

scholarly journals Heterogeneous firm-level responses to the US 2018 tariff announcement

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yafeng Qin ◽  
Zikai Yang ◽  
Min Bai
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Mainland China ◽  
Chinese Stock Market ◽  
Firm Level ◽  
Content Type ◽  
Us Economy ◽  
The Us ◽  
The Usa ◽  
The Impact

PurposeThis study examines the impact of the $60 billion tariff announcement of the US government on the Chinese exporting firms. In particular, it focuses on the firms whose revenues are highly dependent on the US economy.Design/methodology/approachThis study uses an experimental analysis and the event study methodology. The sample includes firms listed in mainland China and Hong Kong Stock Exchanges that have the highest revenues from exporting to the USA. The data are obtained from China Stock Market and Accounting Research (CSMAR) and DataStream.FindingsThe authors find that the tariff announcement has significantly negative impacts on stock performance both before and after the announcement, and the impacts are heterogeneous across all sample firms. For A shares listed in Mainland China, firms with more revenues from the US experience greater price drops on the announcement day, regardless of being in the targeted industry or not. But such finding is absent from H shares listed in Hong Kong. The authors also find that for all the firms, greater pricing power can alleviate the impacts of the tariff announcement.Research limitations/implicationsThe results provide implications to investors, policymakers and regulators on the further US-China cooperation in the future.Originality/valueThis is the first study documenting the heterogeneity of the impact of the tariff announcement and thus contributes to the prosperous studies on the varied firm-level responses in the Chinese stock market, and to the burgeoning literature by filling the gap of the financial market responses to the protectionist policy announcement.

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