Does Subprime Mortgage Crisis Influence Risk Appetite of US REITs Investors: A Study on Domestic and Cross-border M&A

摘要

This paper compares the risk appetite of US REITs investors with domestic and cross-border M&A announcements under different economic conditions analyzing the information content in the periods under consideration Based on a sample of 182 M&A announcements made by US REITs between 2005 and 2010 the evidence shows that they are associated with a positive stock price reaction averaging 0 73% over a 2-day window Stratifying the sample into domestic M&A and cross-border M&A across different market conditions the evidence indicates that the significant positive economic gains that occurred during the subprime mortgage crisis flowed from the pool of domestic M&A announcements They registered a significant mean abnormal return of 1 86 % over the 2-day window as opposed to an insignificant 1 28% for the pool of cross-border M&A announcements Further investigation confirms that since the subprime mortgage crisis the risk aversion level of US REITs investors has raised due to the panic and uncertainty associated with a financial crisis Thus the degree of geographic diversification which has positive influence on abnormal return has increased In addition a new variable the number of states that the REITs firm has properties in is regarded to be effective in analyzing REITs M&A Along this direction this study paves the way for future deep research confirming that this proxy variable has high explanatory power

獎項日期	2017 6月 28
原文	English
監督員	Tse-Shih Wang (Supervisor)