Jarl G. Kallberg

• PhD
• Professor (Full) at Washington State University

Crime is a disamenity, so buyers should be willing to pay more for a house (all else equal) in a low crime area, suggesting that high crime rates depress housing prices. Conversely, it is plausible that criminals prefer wealthier areas because of the higher expected returns from their transgressions. This study examines the link between measures of...

This study analyzes the impact of various proxies for an acquirer’s opportunity set on its post-acquisition abnormal performance and on its likelihood of making an acquisition. Our initial empirical analysis consists of a sample of acquisitions by Real Estate Investment Trusts (REITs) of public and private targets over the period 1994 to 2015. Usin...

This article analyzes auctions that can feature two bidding rounds for the sale of a single good. In the first round the seller, after analyzing the received bids, may elect to have k bidders rebid. The highest bidder in the second round then acquires the asset at the highest bid price. We use a sample of 67 properties that sold through this auctio...

We empirically investigate the hypothesis that the less transparent (more difficult to value) the target's assets are the more likely it is that the acquiring firm can obtain higher short- and long-term returns. We analyze a sample of 1,538 friendly acquisitions partitioned in two separate dimensions: acquisitions of public versus private firms, an...

Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is an open issue. Our study addresses this topic by analyzing a sample of 12,427 repeat sales transactions between Q4 2000 and Q2 201...

“ … financial markets are like the mirror of mankind, revealing every hour of every working day the way we value ourselves and the resources of the world around us. It is not the fault of the mirror if it reflects our blemishes as clearly as our beauty.”

This paper studies the trading behavior of individual Chinese investors before and during the recent…financial crisis.We have three major …findings: (i) individual investors did not withdraw their capital from the equity market during the crisis; instead, they reduced investments following portfolio gains; (ii) the asymmetric net‡ flow decisions ar...

The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate investment trust (REIT) return generating process. However, this result may at least partially be due to the coarseness of the measu...

We examine the role that analysts play in a firm's choice of underwriter using a sample of major U.S. investment banks. In order to best capture the competitive environment, which is critical to the potential role that analysts play, we limit our sample if firms to 161 real estate investment trusts (REITs) issuing debt or equity between 1996 and 20...

Previous studies of share repurchase have primarily focused on examining announcement effects and long-term operating performance in order to distinguish among the diverse possible hypotheses for repurchase. One of the most important rationales they have studied is the over-investment hypothesis: firms repurchase in order to avoid investing in nega...

We examine the role that analysts play in a firm's choice of underwriter using a sample of major U. S. investment banks. In order to best capture the competitive environment, which is critical to the potential role that analysts play, we limit our sample of firms to 161 real estate investment trusts (REITs) issuing debt or equity between 1996 and 2...

This article tests the ability of traditional capital structure theories to explain the issuance decisions of real estate investment trusts (REITs). For issuances made between 1997 and 2006, we find strong support for the market timing theory of capital structure. Controlling for past returns and growth, a REIT is more likely to issue equity when i...

This study addresses the recent performance of the U.S. residential real estate markets. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We identify the portion of this comovement deemed as fundamental (excessive), which we define as the covariation that can (cannot) be attributed...

Financial shocks have become an increasingly pervasive feature of the global economic landscape. Among the two most prominent that have faced corporate managers during the past decade are the bursting of the technology bubble in 2000 and the ongoing global financial and economic crisis. These not only have had a chilling impact on the industries mo...

This study analyzes the impact of corporate governance structures at the initial public offering (IPO) date. We test hypotheses that firms with more shareholder-oriented governance structures receive higher valuations at the IPO stage and have better long-term performance. Our sample is a set of 107 IPOs of real estate investment trusts (REITs) bet...

Capital structure theory and empirical analysis has focused almost exclusively on the choice between debt and equity. Preferred stock has received relatively little attention, in contrast, even though this market, in the U.S., represented $868 billion in new capital during the period 1999 to 2005. This empirical study focuses on the reactions of eq...

This study analyzes how three groups of market participants--insiders, analysts, and all other investors--revised their expectations on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events of September 11, 2001. Our analysis reveals that, on the day when markets reopened, REITs with significant exposure to the New Y...

In 1984, the State of Hawaii’s legislature enacted a law making it mandatory for real estate agents engaged in dual agency relationships (i.e., when the seller’s and the buyer’s agents are employed by the same real estate firm) to disclose this fact to both parties in writing. The assumption was that the dual agency relation was damaging to the sel...

We examine the role that analysts play in a flrm's choice of underwriter using a sample of 161 real estate investment trusts (REITs) issuing debt and equity between 1996 and 2004. Using the estimation technique of Ljungqvist, Marston, and Wilhelm (2005a), which accounts for the endogeneity of analyst beha prices that are optimistic relative to comp...

A leading explanation for IPO cycles is time-varying supply and demand for the underlying assets of the firms that are considering going public. We test this hypothesis using REIT IPOs, taking advantage of the relative transparency of the underlying real asset markets. We document links between REIT IPO activity and both the conditions of the under...

Using a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South Korea, Taiwan, and Thailand during the recent Asian crisis. Volatility breaks occurred in late 1994 and 1997, while return breaks...

This paper analyzes the optimal quality decision of a producer in a multi-period setting with reputation effects. Using a unique database of returns on real estate limited partnerships (RELPs), we empirically examine alternative theoretical predictions of optimal producer strategy. In particular, we test whether the producers in our market invest i...

This study analyzes the reaction of mutual fund investors to past fund performance. We analyze separately institutional and retail funds as well as funds with different investment objectives. Based on data on domestic equity funds from 1994 to 2003, we show that the reaction is more linear than observed in previous studies. Furthermore, the reactio...

This study examines the reaction of the financial markets to the terrorist attack on the World Trade Center and how their behavior compared to the subsequent resolution in the corresponding real asset markets. This event provides an ideal setting to evaluate the accuracy of the market's reaction to external shocks since, unlike almost all studies o...

This paper investigates the value added by private information exchanges that share information on business payment performance. We discuss how this information is collected and disseminated by the world’s largest private information broker, Dun & Bradstreet. We provide the first empirical examination of the importance of this information at the le...

Dividend pricing/present value models relate current stock prices to expectations of future dividends. In this study we apply the West and Campbell-Shiller tests of the dividend pricing relation to an index of real estate investment trusts (REITs). REITs provide a unique test of these models since, during our study period, REITs were mandated to pa...

This paper is an empirical investigation of the excess comovement among 82 industry indexes in the U.S. stock market between January 5, 1976 and December 31, 2001. We define excess comovement as the covariation between two assets beyond what can be explained by fundamental factors. In our analysis, the fundamental factors are sector groupings and t...

This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the theoretical and empirical analyses. The results agree well with the available theory and imply utility functions and parameter values that are appropriat...

We study the impact of capital flights on the interaction of currency and equity markets in Indonesia, the Philippines, Malaysia, South Korea, Taiwan and Thailand during the Asian crisis using the sequence of regime shifts in reduced-form linear relations between currency and equity returns, and between currency and equity return volatility estimat...

This paper applies a new statistical technology for identifying regime shifts to analyze recent data on real estate and equity markets in eight developing Far Eastern countries in the 1992-1998 time period. We find that regime shifts in volatility occur in the summer of 1997; however, most of the regime shifts in returns occur in the spring of 1998...

This paper analyzes the structural relationship between currency and equity markets in ten Far Eastern countries during the recent Asian crisis. This analysis is done separately for returns and for volatilities. Using a new statistical technology for identifying regime shifts, we are able to demonstrate how information shocks in these markets moved...

Real estate data are often characterized by data irregularities: missing data, censoring or truncation, measurement error, etc. Practitioners often discard missing- or censored-data cases and ignore measurement error. We argue here that an attractive remedy for these irregularity problems is simulation-based model fitting using the Gibbs sampler. T...

This article focuses on the specialized class of mutual funds that only invest in REITs. These funds are essentially a mutual fund of mutual funds and should only exist if fund managers have superior ability to select REITs or to time movements in the real estate market. Our empirical analysis shows that, contrary to almost all other mutual fund st...

One of the most controversial topics in modern financial economics is "excess volatility:" the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. While the initial work of Shiller indicated a high degree of excess volatility, subsequent research indicates that the degree of excess volatility is...

This paper develops a signalling model of call of convertible securities (bonds or preferred stock) in the presence of corporate taxes and asymmetric information about future earnings. In equilibrium, managers with relatively unfavorable information call to force convertible holders to convert to common stock (in spite of the loss of corporate tax...

One of the most controversial topics in modern financial economics is 'excess volatility': the notion that stock prices move too much to be explained by fundamental economic and firm-specific factors. This research measures the extent of excess volatility in a special class of

This study explores the role of direct real estate investment in a portfolio context incorporating the real estate imperfections of indivisible assets and no short sales. Mean-variance efficient portfolios are calculated using Treasury-bills, bond and equity indices together with cash flows and appraised values from a set of twenty-two properties h...

Bibliogr. s. 583-598

This paper develops characterizations of a risk premium and of the relation more risk averse, for multi-dimensional problems where the agent is exposed to an insurable and an uninsurable risk. We generalize and inter-relate results of Duncan (1977), Karni (1979), Kihlstrom et al. (1981), Malinvaud (1971), and Ross (1981) in deriving a local orderin...

The authors summarize methodology for testing the compatibility of discrete time stochastic processes - stationary and nonstationary Markov chains and an extension, the mover-stayer model - with longitudinal data from an unknown empirical process. They apply this methodology to determine the suitability of these models to represent the payment beha...

This paper presents theoretical and empirical results concerned with the question of mis-specification in normally distributed portfolio selection problems. These mis-specifications can occur in three areas: the investor’s utility function, and the mean vector and covariance matrix of the return distribution. Our results suggest that only the secon...

This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the theoretical and empirical analyses. The results agree well with the available theory and imply utility functions and parameter values that are appropriat...

This paper presents a stochastic linear programming formulation of a firm's short term financial planning problem. This framework allows a more realistic representation of the uncertainties fundamental to this problem than previous models. In addition, using Wets's algorithm for linear simple recourse problems, this formulation has approximately th...

This paper develops an extended Frank-Wolfe algorithm that utilizes approximate gradient and objective function evaluations at each iteration. A general convergence proof is given for the case when one wishes to maximize a concave function over a compact convex set. The algorithm is particularly useful for the solution of portfolio selection proble...

For portfolio problems with joint normally distributed asset returns, the risk aversion measure R = -w0(Eu″(w)/Eu′(w)), where w0 is initial wealth can be used to characterize optimality. Comparisons between the global measure R and local measures based on RA = -u″(w)/u′(w) are explored. Simulations for several utility function classes are described...

The essence of short-term financial planning is to determine an asset and liability mix that minimizes the cost of financing the firm's cash surpluses and deficits over the planning horizon. Seasonal and other effects cause uncertainty in forecasted cash requirements, liquidation, and termination costs. We develop a stochastic linear programming mo...

Controversy exists regarding the extent to which real estate continues to behave like real estate once it is securitized as a real estate investment trust (REIT). The purpose of our study is to examine the nature of deviations of securitized real estate from its underlying fundamental value and the role that institutional flow of funds play in this...

Thesis (M. Sc.)--Simon Fraser University, 1974. Includes bibliographical references (leaves 67-68). Microfiche of typescript.

Thesis (Ph. D.)--University of British Columbia, 1979. Includes bibliographical references.