表題番号：2017S-202
日付：2018/04/06
研究課題Hedging, Signaling and Price Discovery in International Real Estate Markets
| 研究者所属（当時） | 資格 | 氏名 | |
|---|---|---|---|
| （代表者） | 商学学術院 大学院経営管理研究科 | 准教授 | チェン ミンヤン ウィリアム |
| （連携研究者） | DePaul University | George L. Ruff Endowed Chair in Real Estate | James D. Shilling |
| （連携研究者） | California State University East Bay | Professor of Finance | Scott S. Fung |
- 研究成果概要
- Finance theory suggests that an increase in dividend payout serves as an unambiguous signal to the marketplace that the firm anticipates higher future earnings. Yet, it is often unclear just what an increase in dividend payout signals and how it does so, testing the theory using a sample of ordinary firms proves difficult in general. In this paper, we focus on the application of dividend signaling theory to the case of Real Estate Investment Trusts (REITs). REIT managers have valuable information about the firm’s re-leasing spread profit, and will, in the presence of asymmetric information, choose to convey this insider’s information to outside investors in periods of when the market lease rate is high or is expected to increase through dividend changes. Consistent with our theoretical predictions, we find substantial evidence of a positive relation between dividend changes and future earnings changes for REITs with high investment spending in periods when current lease rates are expected to increase in the future. Further, we find very little evidence of dividend signaling in all other cases, even when we do a detailed analysis of REITs with low investment spending in periods when current lease rates are expected to increase in the future.