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I. INTRODUCTION The role played by the institutional investor is receiving increased attention in both the popular press and in academic journals. One reason for this focus may be the [...]

Recent research points to evidence of nonlinear dependencies in returns of risky assets in the stock markets of Hong Kong, Singapore, Korea, Taiwan, Japan and the US. The presence of nonlinear dependencies leads to the rejection of identical and independent distribution of stock returns in these markets. A generalized autoregressive conditional heteroskedasticity model is used in confirming conditional heteroskedasticity as the cause for the rejection of IDD.

This paper examines the determinants of institutional investment demand for Real Estate Investment Trust (REIT) common stock. Specifically, it explores whether the demand function of institutional investors is dependent on the first four moments of the REIT returns distribution. The objective is to determine whether institutional investment decisions concerning REITs are influenced by individual stock attributes such as the mean return, standard deviation of returns, skewness of returns and kurtosis of returns. The results suggest that standard deviation plays a significant role in the institutional demand for REITs, but no significant role is found for the higher moments of the return distribution. The results also suggest institutional investment in REITs is predictable a priori using the moments of the REIT return distribution. [ABSTRACT FROM AUTHOR]

This study creates and analyses for the first time a continuous index of returns on commercial bank common stocks listed in a specific market. The index is constructed from a unique set of historical data and is calculated on both a weighted and unweighted basis, first including and then excluding dividends. A measure of volatility is calculated annually.
The results indicate that the dividend component of holding period returns is very important. Including dividends, average returns were 6.0% for the century; excluding dividends, average returns were 0.1%. Excess returns were calculated using two different measures of a riskless rate of return. Cumulative excess returns for the first half of the nineteenth century were negative. Real returns were calculated, and found to be generally positive over the century. The volatility of returns was quite high during certain periods.
Examining the effects of significant economic and political events on bank common stock returns, we find that the War of 1812, the Civil War, and the National Banking System had a significant impact on bank stock returns. Several economic panics, several depressions, the First and Second Banks of the United States, the Embargo of 1807, and the Suffolk Bank had no measurable impact. [ABSTRACT FROM AUTHOR]