Theses and Dissertations - Department of Economics, Finance & Legal Studies

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Browsing Theses and Dissertations - Department of Economics, Finance & Legal Studies by Author "Allaway, Arthur Warren"

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    Essays in real estate
    (University of Alabama Libraries, 2013) Stelk, Steven; Zumpano, Leonard V.; University of Alabama Tuscaloosa
    This study exploits the recent financial crises as a unique natural experiment to examine relationships in residential real estate brokerage and real estate investment through three essays. The first essay examines the impact of agency disclosure on residential restate transactions in the post-financial crises period and extends the literature with three key findings. First, the overall proportion of buyers that report receipt of agency disclosure has not improved since previous studies were completed. Second, there is no evidence that buyers who do not report receipt of agency disclosure pay different prices for homes than buyers who do report receiving agency disclosure. Finally, there is evidence that the timing of agency disclosure matters. Among buyers that do receive agency disclosure, those receiving disclosure at a time other than the first contact with a broker are associated with 3.2% higher home prices. The results demonstrate the need for continued improvement in mandatory disclosure statutes. The second essay investigates the real estate brokerage market's impact on home prices in both a seller's market (2006) and a buyer's market (2009). In both years, homes sold with brokerage assistance realized higher prices when compared to homes sold without the aid of a broker, even after controlling for selection bias in the seller's choice to use a broker. This is the first study using a national dataset that finds evidence of price segmentation in the residential real estate market. The findings may be the result of the extreme market conditions housing market participants faced in 2006 and 2009. The third essay examines the impact of REITs on the Value-at-Risk (VaR) of a mixed asset portfolio surrounding the financial crises using a new, more accurate method of estimating VaR, conditional autoregressive value at risk (CAViaR). The more accurate VaR estimates show that adding REITs to the portfolio has no significant impact on VaR until after the financial crises begins in 2006. After 2006, adding REITs to a portfolio of stocks and bonds dramatically increases VaR. The results have significant implications for portfolio selection.
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    Three essays in investments: financial risk tolerance and leveraged and inverse exchange traded funds
    (University of Alabama Libraries, 2010) Holzhauer, Hunter Matthew; McLeod, Robert W.; University of Alabama Tuscaloosa
    Since the recession of 2008, many financial advisors and investors have begun to take a closer look at the holdings within their respective portfolios. These holdings are a two-fold reflection of risk and return. First, they are a signal as to the amount of risk a client or investor has chosen to tolerate. Second, they are an indication as to the type of financial instruments or products the client or investor has chosen to seek their return objectives. This study addresses this balance between risk and return with papers addressing both sides of this scale. The first paper concentrates on developing a more valid and reliable financial risk tolerance (FRT) questionnaire. Specifically, we use factor analysis and find five factors for measuring FRT. Our results have obvious uses for financial planning, particularly portfolio allocation. The second and third paper address the effects of expected market volatility on a not well understood group of relatively new financial instruments called leveraged and inverse exchange traded funds (ETFs). The second paper specifically looks at the daily returns of these specific ETFs and finds that expected market volatility and the daily change in expected market volatility have significant effects on daily returns. The third paper examines long-term holding strategies for these specific ETFs and finds that expected market volatility has a significant effect on long-term returns. These results suggest that volatility indexes may be used to devise trading rules for these specific ETFs. In the end, the results of these three papers accomplished the goal of this research as a whole, which was to better equip advisors and investors with the tools and information needed to balance the risk and return within their respective portfolios.