Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

机构投资者作为证券市场中的重要力量,越来越受到理论界和实务界的关注。论文对宾夕法尼亚大学沃顿商学院会计学教授布赖恩-布希（Brian Bushee）的论文＂The influence of institutional investors on myopic R＆D investment behavior＂（机构投资者对企业短视研发投资行为的影响,以下简称Bushee（1998））进行评价并提出相关的建议和研究方向。

《The influence of institutional investors on myopic R＆D investment behavior》述评

This article identifies 25 articles that have been particularly influential in shaping the state of the art of research on family businesses. These works were identified based on a citation analysis of family business articles published over the past 6 years in the four journals that publish most of the research. The authors summarize those influential studies and discuss their most important contributions to scholars’ current understanding of family business. By identifying common themes among those studies, the authors are able to provide directions for future research in the field.

Intellectual Foundations of Current Research in Family Business: An Identification and Review of 25 Influential Articles

The authors examine one-three-year performance of common stocks following 5,596 stock split and 76 reverse split announcements made during the period 1976-91. For stock splits, on average, the one- and three-year buy-and-hold abnormal returns after the announcement month are 7.05 percent and 11.87 percent, respectively. For reverse splits, the corresponding abnormal returns are -10.76 percent and -33.90 percent. The results suggest that the market underreacts to both the stock split and the reverse split announcements. The authors also find that the announcement period and the long-run abnormal returns are both positively associated with an increase in dividends. Copyright 1997 by University of Chicago Press.

Long-Run Common Stock Returns Following Stock Splits and Reverse Splits

Investors react to information in a nonlinear way. When passing the critical point, information that once has been neglected will burst up in cluster as the result of long-term memory in the stock market. Using the trading volume series of Shanghai Stock Market, we suggest that the Shanghai market is the long-term memory dependent and conclude the reasons which include abundant noise traders in the market, the lack of hedging tools and the imperfect information disclosures. The latler two factors in turn magnify investor's cluster reaction.

The Empirical Analysis of Long-term Memory in Stock Market

The factors influencing the cash holdings of REITs are examined with the view that the REIT industry should yield new information regarding the drivers of corporate cash policy due to their unique operating conditions. The availability of REIT line of credit data also allows us to test the association between cash holdings and line of credit access and use. Data constraints in prior investigations have left this an unresolved empirical question in the cash holdings literature. The baseline results show that REIT cash holdings are inversely related to funds from operations, leverage, and internal advisement and are directly related to the cost of external finance and growth opportunities. Cash holdings are also negatively associated with credit line access and use. The results imply that REIT managers elect to hold little cash to reduce the agency problems of cash flow thereby increasing transparency and reducing the future cost of external capital.

The Determinants of REIT Cash Holdings

∗∗∗ The determinants of excess dividend payments above mandatory requirements in real estate investment trusts (REITs) are evaluated. Payment of excess dividends is related to factors associated with reduced agency costs, strong operating performance, the implementation of a stock repurchase plan and an ability to access short-term bank debt. Recognizing that access to external capital is essential for long-term growth, REITs manage dividend policy to allow for capital acquisition in the form of both equity and debt. The acquisition and use of short-term bank debt provides REIT management flexibility in determining dividend policy. A number of studies have focused on the determinants of real estate investment trust (REIT) dividend policy (Wang, Erickson and Gau 1993, Bradley, Capozza and Seguin 1998, Ghosh and Sirmans 2006) as regulatory constraints imposed on REITs allowing them preferable tax status require the payment of dividends. The existing published studies on REIT dividends, however, do not differentiate between the mandatory and nonmandatory components of REIT common dividends. Dividend payment and policy analysis should explicitly recognize that dividend payments to REIT common shareholders can be decomposed into two components. The first component of the dividend payment is the mandatory payment required to retain the tax-preferenced REIT regulatory status. The second component of the dividend payment is an additional or excess payment over and above the minimal statutorily driven payment. It is this excess payment that is of most interest as it is not driven by mandatory requirements, but is instead the component of the dividend payment that is directly attributable to management decisions and a firm’s operating performance. Contemporaneous REIT research focused on capital formation shows the considerable limitations REITs have in generating sufficient internal cash flow to substantially increase assets under management. REITs employing a growth strategy are dependent on the capital markets for short-term bank debt,

REIT Dividend Determinants: Excess Dividends and Capital Markets

∗∗∗ This article examines the evolution of real estate investment trust (REIT) capital structure in the new REIT era with a focus on the effects of banking relationships on REIT capital structure. Using a unique sample of REITs from 1992 to 2003, we find that, after controlling for firm characteristics, REITs with banking relationships are more likely to obtain long-term debt ratings and subsequently issue public debt. Moreover, REITs with banking relationships tend to use less secured debt and have lower leverage. These findings support the notion that banking relationships facilitate REITs’ access to the public debt markets and help explain why REITs shift from traditional mortgage financing to bank debt and public capital market financing. The results also support the proposition that firm leverage should be positively related to the amount of a firm’s secured debt.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1327474_code719733.pdf?abstractid=1323736&mirid=4

Banking Relationships and REIT Capital Structure

Negotiation theory and implied agency costs provide the foundation for the research hypothesis that equity real estate investment trusts (EREITs) may have paid premiums when making real property ac...

Equity REIT Property Acquisitions: Do Apartment REITs Pay a Premium?

Impacts on consumer spending in urban China associated with housing value, housing equity, financial assets and household income are evaluated using longitudinal data from the China Family Panel Studies (CFPS) survey. Findings suggest that the housing wealth effect on household consumption in China is much larger than has been shown for developed economies. The larger impact is prospectively related to structural limits on investing which favor real estate ownership, along with the dominant position of housing in total household wealth. We also find that a household's consumption varies across housing tenure. Homeowners having joint ownership of property on average have the highest consumption propensity, while those having sole ownership of property consume the most in response to appreciation in housing wealth.

William G. Hardin

Papers

The Determinants of REIT Cash Holdings

REIT Dividend Determinants: Excess Dividends and Capital Markets

Banking Relationships and REIT Capital Structure

Equity REIT Property Acquisitions: Do Apartment REITs Pay a Premium?

Housing, Wealth, Income and Consumption: China and Homeownership Heterogeneity