107
Views
0
CrossRef citations to date
0
Altmetric
Research Articles

Impacts on REIT Stock Capital Structures, Equity Costs, and Market Liquidities of Being Included in ETF Managed Portfolios

, & ORCID Icon
Pages 189-213 | Received 20 Jun 2022, Accepted 23 Aug 2023, Published online: 29 Sep 2023

References

  • Agarwal, V., Hanouna, P., Moussawi, R., & Stahel, C. W. (2017). Do ETFs increase the commonality in liquidity of underlying stocks? Working paper, Villanova University.
  • Beckmann, K. S., Huerta-Sanchez, D., & Ngo, T. N. (2020). REIT industry liquidity, valuation, and ownership reactions to ETF inceptions. Applied Economics, 52(30), 3291–3307. https://doi.org/10.1080/00036846.2019.1708859
  • Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73(6), 2471–2535. https://doi.org/10.1111/jofi.12727
  • Bourgi, S. (2018, December 25). Who are institutional investors? ETF Investing. https://etfdb.com/etf-education/who-are-institutional-investors
  • Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Fama, E. F., & French, K. R. (2002). Testing trade-off and pecking order predictions about dividends and debt. Review of Financial Studies, 15(1), 1–33. https://doi.org/10.1093/rfs/15.1.1
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
  • FTSE Nareit Real Estate Index historical market capitalization, 1972–2022. (n.d.). Nareit. https://www.reit.com/data-research/reit-market-data/us-reit-industry-equity-market-cap
  • Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. https://doi.org/10.1287/mnsc.2019.3427
  • Hardin, W. G., Hill, M. D., & Kelly, G. W. (2012). The market value of REIT liquidity. The Journal of Real Estate Finance and Economics, 45(2), 383–401. https://doi.org/10.1007/s11146-010-9280-1
  • Hardin, W. G., Hurwitz, C. I., & Parhizgari, A. M. (2020). Do real estate ETFs increase the volatility of REITs? Journal of Real Estate Research, 42(4), 439–475. https://doi.org/10.1080/08965803.2020.1844534
  • Hegde, S. P., & McDermott, J. B. (2004). The market liquidity of DIAMONDS, Q's, and their underlying stocks. Journal of Banking & Finance, 28(5), 1043–1067. https://doi.org/10.1016/S0378-4266(03)00043-8
  • Holden, C. W., & Jacobsen, S. (2014). Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions. The Journal of Finance, 69(4), 1747–1785. https://doi.org/10.1111/jofi.12127
  • Israeli, D., Lee, C., & Sridharan, S. (2017). Is there a dark side to exchange traded funds (ETFs)? An information perspective. Review of Accounting Studies, 22(3), 1048–1048. https://doi.org/10.1007/s11142-017-9400-8
  • Lin, C., Schmid, T., & Xuan, Y. (2018). Employee representation and financial leverage. Journal of Financial Economics, 127(2), 303–324. https://doi.org/10.1016/j.jfineco.2017.12.003
  • Lipson, M. L., & Mortal, S. (2009). Liquidity and capital structure. Journal of Financial Markets, 12(4), 611–644. https://doi.org/10.1016/j.finmar.2009.04.002
  • Ott, S. H., Riddiough, T. J., & Yi, H. C. (2005). Finance, investment, and investment performance: Evidence from the REIT sector. Real Estate Economics, 33(1), 203–235. https://doi.org/10.1111/j.1080-8620.2005.00117.x
  • Pan, P. K., Zeng, Y. (2017). ETF Arbitrage Under Liquidity Mismatch. ESRB: Working Paper Series No. 2017/59. SSRN: https://ssrn.com/abstract=3723406
  • Richie, N., & Madura, J. (2007). Impact of the QQQ on liquidity and risk of the underlying stocks. The Quarterly Review of Economics and Finance, 47(3), 411–421. https://doi.org/10.1016/j.qref.2006.04.002
  • Statista Research Department. (2023, July 26). ETFs - Statistics and facts. Statista. https://www.statista.com/topics/2365/exchange-traded-funds/#topicOverview
  • Titman, S., & Wessels, R. (1988). The determinants of capital structure choice. The Journal of Finance, 43(1), 1–19. https://doi.org/10.1111/j.1540-6261.1988.tb02585.x

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.