| 作者(Author) | Tsung-Kang Chen, Hsien-Hsing Liao, Ahyee Lee, Ju-Fang Yen |
| 篇名(Article title) | Internal liquidity and REIT excess returns |
| 期刊名(Journal name) | Review of Securities & Futures Markets |
| 國際期刊(International Journal) | TSSCI |
| 中文摘要(Abstrct) | |
| ABSTRCT | Because tax codes require real estate investment trusts (REITs) to distribute at least 90% of taxable income to shareholders, REITs are stocks with less management’s discretion in payout policy and most of their investors demand high dividends. Investors therefore may charge a premium for the risk that REITs are unable to pay legally required dividends due to insufficient internal liquidity. Our firm-level results confirm this premium. The internal liquidity effect becomes weaker (stronger) when a REIT’s information uncertainty (leverage) is lower (higher). Besides, empirical investigations at aggregate level produce similar results. Moreover, empirical results also show that the influence of internal liquidity on REIT excess returns is larger in the subprime period than in the pre-subprime period. These findings are robust when controlling for different variables affecting REIT’s excess returns. |
| 中文關鍵字(Keyword) | |
| KEYWORD | Internal liquidity; REIT excess returns; Information uncertainty |
| 卷期(Volume No) | Vol.26 No. |
| 頁數(Page number) | PP.1~42 |
| 年份(Year) | 2014/12 |
| 語言(Language) | 2 |