دانلود مقاله ISI انگلیسی شماره 50720
عنوان فارسی مقاله

بحران مالی، محدودیت فروش استقراضی REIT و نوسانات ناشی از رویداد

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
50720 2012 8 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Financial crisis, REIT short-sell restrictions and event induced volatility
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The Quarterly Review of Economics and Finance, Volume 52, Issue 2, May 2012, Pages 219–226

کلمات کلیدی
REIT - نوسانات - GARCH
پیش نمایش مقاله
پیش نمایش مقاله بحران مالی، محدودیت فروش استقراضی REIT و نوسانات ناشی از رویداد

چکیده انگلیسی

From September 19 through October 8, 2008 the SEC issued a short sale moratorium on approximately 800 financial stocks. The emergency order justified the ban based on concerns “that short selling in the securities of a wide range of financial institutions may be causing sudden and excessive fluctuations in the prices of such securities” (see Securities and Exchange Commission, 2008). Although Real Estate Investment Trusts (REITs) were initially excluded, the management of fourteen REITs requested that they be added to the restricted list. Diamond and Verrecchia (1987) develop a model in which short sale constraints decrease trading and increase the time required to adjust to new information resulting in greater price reaction. This research employs a GARCH version of the market model to test the impact of the SEC policy on the risk/return of the fourteen restricted REITs and a sample of fifty REITs not on the list. Rather than mitigate volatility it was determined that fifty of the sixty-four REITS in the combined samples exhibited significant event induced risk as a consequence of the ban with a significantly larger increase occurring among restricted REITs. A cross-sectional test failed to identify significant negative or positive abnormal returns as a consequence of the short sell ban.

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