Kartono Liano

Influential Journals, Institutions and Researchers in Real Estate

A threshold citation approach is used to measure the research influence of academic real estate journals, institutions and individual researchers. Real Estate Economics followed by The Journal of Real Estate Finance and Economics and Journal of Real Estate Research are the most influential real estate journals. Almost 63% of heavily cited works in core real estate journals are published in real estate journals. Twenty-one percent of the heavily cited works are published in Real Estate Economics. An overwhelming 80% of the citations of the 21 most heavily cited papers in real estate come from articles published in real estate journals. Even when real estate articles are published in top-tier finance and economics journals, the majority of the citations associated with these articles come from top real estate journals. This provides strong evidence of the existence of a distinct real estate research discipline. As compared to prior studies, an expanded universe of institutions is found to influence real estate research. Research-extensive universities generating high-quality economics, statistics and finance research influence the real estate discipline. The individuals that are most influential, however, are generally those with substantial real estate discipline specific research.

An Anlaysis of the Weekend Effect within the Monthly Effect

This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Fridays returns are significantly greater than Mondays returns. However, the spread between Mondays and Fridays returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982–1992 period does not exhibit a monthly effect or a weekend effect for the value-weighted index.

Business cycles and the pre-holiday effect in stock returns

This study introduces business cycles to the analysis of a pre-holiday effect in the Standard and Poors 500 and NASDAQ return indexes. During expansionary periods, both indexes exhibit a pre-holiday effect, with a more pronounced pre-holiday effect in the NASDAQ index than in the S&P index. During periods of economic contraction, the pre-holiday effect prevails in both indexes, with a stronger pre-holiday effect in the S&P index than in the NASDAQ index. These results suggest that the magnitude of the pre-holiday effect is related to the level of economic activity and firm size.

Presidential administrations and the day-of-the-week effect in stock returns

Abstract This study examines the presence of a day-of-the-week effect over different presidential administrations. The results indicate that the day-of-the-week effect prevails during the Democratic and Republican administrations. However, the pattern of the day-of-the-week effect differs between the two presidential administrations. Specifically, the negative returns on Monday are more pronounced during the Republican than during the Democratic administrations. Therefore, explanations for the day-of-the-week effect should take into account the changing pattern of the day-of-the-week effect across presidential administrations.

A threshold citation analysis in marketing research

Purpose – The objective of this paper is to simultaneously identify influential articles, journals, institutions, and researchers in marketing research in recent years using a threshold citation analysis.Design/methodology/approach – The threshold citation analysis counts the number of times a research work is cited by articles published in a set of elite marketing journals. In order to be included in the analysis, the research work must be cited 18 or more times. This threshold is used to measure influence and is unique in the ranking of marketing research. The threshold citation analysis incorporates the quality, the importance, and the influence of research works in the ranking criteria and is not limited to a set of journals nor confined by the year a research work is published.Findings – The three frequently cited articles in marketing research are Fornell and Larcker, Baron and Kenny, and Anderson and Gerbing. Journal of Marketing, Journal of Marketing Research, and Journal of Consumer Research are ...

A twist on the Monday effect in stock returns: A note

Abstract This study introduces business cycles to analyze a twist on the Monday effect and extends the analysis to OTC stocks. We find that OTC stocks do not share the same common twist on the Monday effect as exchange-listed stocks. For OTC stocks, the twist on the Monday effect is not a robust explanation of the negative returns on Mondays. For the S & P and NASDAQ indexes, periods of economic contraction experience a more pronounced negative returns on Mondays than expansionary periods following market declines. Following market advances, the negative returns on Mondays are insensitive to the level of economic activity.

Macroeconomic events and seasonality of risk and returns

The present study introduces macroeconomic events (such as business cycles) to analyse the seasonality of risk and returns in the Standard and Poors Composite Index and the NASDAQ Composite Index. The results suggest that seasonality of risk and returns are sensitive to stages of the business cycle. During expansionary periods, the returns on both indexes exhibit a January effect while October has the highest risk. During periods of economic contraction, the returns on the NASDAQ index exhibit an October effect while there is no evidence that the SP index exhibits seasonality of returns. Furthermore, the SP index continues to produce the highest risk in October while the NASDAQ index has the highest risk in March.

A pre-holiday effect in the currency futures market: a note

Abstract This study examines whether a pre-holiday effect exists in the currency futures market from June 1977 to December 1992. For British pound futures, Deutsche mark futures, Japanese yen futures, and Swiss franc futures, the results indicate that the pre-holiday rates are not significantly different from the non-pre-holiday rates. The absence of a pre-holiday effect in the currency futures market suggests that the pre-holiday effect is unique to the stock market.

Regional Differences in Bank Merger Pricing

More mergers and acquisitions—a total of 307—occurred in the banking industry in 1986 than in any other industry.1 The wave of takeovers in part reflects a liberalization of state laws restricting banking combinations both within and across state boundaries.2 Federal banking laws have given states the power to control the ownership of banks and branches within their boundaries.3 The limitations on interstate banking were especially strict until the development of regional reciprocal interstate compacts in the early 1980s; after the Supreme Court held that the regional compacts were constitutional, interstate takeovers began almost immediately. More recently the trend has been toward states allowing nationwide banking either immediately or after some future trigger date,4 and the continuing relaxation of interstate banking laws suggests that mergers will remain important.

Investor opinion divergence and post-repurchase announcement stock price drift

This study examines whether investor opinion divergence is a significant determinant of post-repurchase abnormal returns. We examine the effect using abnormal trading turnover (ATO) ratio as a proxy for investor opinion divergence. While the OLS regression results show that investor opinion divergence is not related to post-repurchase performance, the quantile regression results show that the effect of investor opinion divergence on post-repurchase performance is not homogeneous across various quantile levels of post-repurchase performance. We find a positive relation between ATO ratio and post-repurchase performance for firms with lower-to-middle performance groups. For firms with middle-to-higher post-repurchase performance, pre-repurchase stock undervaluation is a key determinant of the post-repurchase performance.