Search

This study examines the relationship between corporate real estate (CRE) holdings and stock returns before and after the Global Financial Crisis (GFC). We find that (1) the United States and the United Kingdom show a negative relationship before the GFC and positive after the GFC. (2) Firms that pay positive tax or have positive R&D investments are not systematically different from the full sample. This finding cannot support the "scarce capital" theory or the tax incentive explanation, but it is consistent with the "empire building" theory. After the GFC, financial constraints tightened, and both CRE holding and stock returns dropped. (3) European (excluding the United Kingdom) sample shows a positive relationship in the pre-crisis period. This finding is compatible with the "illiquidity premium" theory. However, the association becomes inconclusive in the post-crisis period. (3) The Japanese sample shows a negative association between CRE and stock returns in the pre-crisis period, like the United States and the United Kingdom. However, the relationship becomes statistically insignificant in the post-crisis period, consistent with the theory of financial constraint tightening after the GFC. [ABSTRACT FROM AUTHOR]

The dynamic relationship between stock returns and trading volumes is examined during normal and crisis periods by a combining the Bai-Perron structural break test with Granger Causality test. The daily price and volume data of 4 important indices and Nifty Fifty index based companies listed on the National Stock Exchange of India Limited (NSE) are included in the study for the years 2005 to 2022. The results of this study give valuable insights into the influence of periods falling during two important crisis periods, the Global Financial Crisis and the Covid- 19 pandemic, on the nature of relationship between the variables under study. We find that the market is not permanently efficient and our findings indicate the nature of causal relationships to be closer to the postulates of adaptive market efficiency. Although the market appears efficient for the most part at the aggregate market level there are periods at sector level and firm level which are long enough for traders to profit from strategies that exploit associations between price and volume. [ABSTRACT FROM AUTHOR]