John Glascock | University of Connecticut-storrs (original) (raw)

Papers by John Glascock

Social Science Research Network, Oct 22, 2000

ABSTRACT This paper shows that increases in the minimum wage rate can have ambiguous effects on t... more ABSTRACT This paper shows that increases in the minimum wage rate can have ambiguous effects on the working hours and welfare of employed workers in competitive labor markets. The reason is that employers may not comply with the minimum wage legislation and instead pay a lower subminimum wage rate. If workers are risk neutral, we prove that working hours and welfare are invariant to the minimum wage rate. If workers are risk averse and imprudent (which is the empirically likely case), then working hours decrease with the minimum wage rate, while their welfare may increase.

Social Science Research Network, 2020

Social Science Research Network, 2008

... for Retaining Your Best Appraisers Fisher, Christine A.; and Wright, Jr., John H. A Review Ap... more ... for Retaining Your Best Appraisers Fisher, Christine A.; and Wright, Jr., John H. A Review Appraiser's Perspective Gelbtuch, Howard C. Airport Retailing Is Taking Off Graham, Marshall F.; and Bible, Douglas S. Classifications for Commercial Real Estate Hints, Mary Alice. ...

International Real Estate Review, Dec 31, 2019

Journal of Financial and Quantitative Analysis, Sep 1, 1995

Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 30, NO. 3, SEPTEMBER 1995 Signaling w... more Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 30, NO. 3, SEPTEMBER 1995 Signaling with Convertible Debt Wallace N. Davidson III, John L. Glascock, and Thomas V. Schwarz ∗ Abstract We test ...

Public Util. Fortn.; (United States), May 27, 1982

The Energy Citations Database (ECD) provides access to historical and current research (1948 to t... more The Energy Citations Database (ECD) provides access to historical and current research (1948 to the present) from the Department of Energy (DOE) and predecessor agencies.

Journal of Real Estate Finance and Economics, 1994

Small real estate rental firms in the United States tend to be employee-owner firms in which the ... more Small real estate rental firms in the United States tend to be employee-owner firms in which the landlord does maintenance and repairs as a part-time job rather than principal-agent firms in which the landlord hires part-time workers. Applying work incentives theory to explain this observation, we find that the difference in incentive compatibility conditions for the two forms of organization provides a bias toward the employee-owner form of organization for sufficiently small-scale operations. By supplying labor to the firm, the landlord avoids transferring economic rents to contract labor, rents that function as incentives for assuring profit-maximizing maintenance effort even when worker productivity is at its lowest.

Social Science Research Network, 2006

We examine and test the merits of diversifying portfolios of real estate securities international... more We examine and test the merits of diversifying portfolios of real estate securities internationally and across property types. Our analysis covers the period January 1990 through July 2005. Using data from the Global Property Research GPR 250 Property Securities Index, which has monthly prices for five property type indexes in 21 countries, we decompose country and property type sources of variation in real estate security returns. We find that property type effects are smaller than country effects. Property type specialization explains only 6% of the variance of national real estate securities index returns. Because property type effects are so small, country diversification is a more effective tool for achieving risk reduction than property type diversification. In addition, we find evidence that the relative importance of country effects is decreasing while that of industry effects is increasing. However, country effects continue to dominate property type effects.

Social Science Research Network, May 3, 1998

This article reexamines the now generally accepted notion that sell-offs of real estate assets pr... more This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.

Social Science Research Network, 2008

A key asset that is important in international markets is real estate-raw land and developed prop... more A key asset that is important in international markets is real estate-raw land and developed properties. Also, real estate can clearly have difference local rules for investment and transactions based upon bankruptcy protection, appraisal standards, lending standards, taxation and planning processes across countries. This can be particularly true when assessing a developing country. In this research, we assess the relative pricing behavior for land in Beijing China. We see this as important for three core reasons. First, China has a strong growth economy but is still in many ways an undeveloped country and thus we do not have significant data about asset pricing behavior there. Second, China has not traditionally had a market based land and property transfer system. Thus, it is interesting to assess how prices are determined relative to typical market expectations. Third, we have extensive evidence on pricing behavior in the USA and Europe but little such evidence on China. Are the same variables important in Land pricing in China and are there other unique local variables. For example, there have been twenty-two articles published in core journals on Chinese land and only two provide empirical estimates of value attributes and none of there are as extensive as our study. Thus, we consider a large data set of land prices in Beijing China and assess the relative pricing behavior. Our key results are that pricing behavior in general follows the traditional expected variables as determined by size, planning use, location and other neighborhood characteristics. However, we also find that land prices are associated with buyer characteristics; for example, foreign investors pay less than local investors.

In this research, we examine and present new evidence on the market activity following the initia... more In this research, we examine and present new evidence on the market activity following the initial public offering (IPO) of a real estate investment trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end funds for all IPOs between 1985 and 1988. Our results show that REITs, as a whole sample, experience signi®cantly greater bid-ask spreads immediately following the IPO compared to common stocks and funds. However, this outcome is driven by the equity REIT sample, with the mortgage REIT sample having signi®cantly smaller bid-ask spreads. This is in contrast to the evidence documented by Nelling, Mahoney, Hildebrand, and Goldstein (1995). We attribute our result to the underlying asset structure (such as equity, hybrid, and mortgage portfolios) of the various REITs. Overall, however, we ®nd that bid-ask spreads for REITs are similar to those of common stock when both asset structure and the traditional determinants of the spread (share price, trade volume, and returns variance) are considered.

Review of Pacific Basin Financial Markets and Policies, Jun 1, 2006

We investigate the stock market linkages between the United States and three Greater China Econom... more We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

Since the urban land reform in late 1980s, the land and property market have been gradually estab... more Since the urban land reform in late 1980s, the land and property market have been gradually established in China. Despite of a fast growing literature on this emerging market, quantitative analysis of the land value determination mechanism has been scarce. Using a unique data set of land sales in Beijing from 2005 to 2006, this paper presents a comprehensive quantitative investigation of the land market in China. We aim to discover whether there is an effective land market at work. Hedonic price modelling technique is adopted to analyze the determining factors of land value in Beijing. We take into account the factors of location, parcel size, planning constraints, social and economics characteristics of the neighbourhood, as well as the characteristics of the buyers. A semi parametric model using a kernel core is utilized, by which the land value is allowed to change nonlinearly and non-monotonically with parcel size. Our analysis yields encouraging findings. The land value in Beijing is determined by size, planning uses, location and other neighbourhood characteristics. This agrees with the urban economic theories and empirical findings from other jurisdiction, and hence suggests that the land market in China is maturing. On the other hand, the land price is also found to be associated with buyer characteristics. Foreign invested companies pay more for land parcels on average, everything else given equal. Our empirical findings suggest that the land price in Beijing is significantly influenced by social, economic and political factors.

The Otterbein Miscellany is published once or twice a year as an outlet for faculty writing on a ... more The Otterbein Miscellany is published once or twice a year as an outlet for faculty writing on a wide variety of topics. The college underwrites this publication in the belief that it will help maintain a genuine community of scholars. Papers are ac cepted, therefore, on the basis of their interest to the whole academic community rather than to members of a particular discipline. Editorial responsibility rests with a committee of the faculty. Contributions are considered from the Otterbein College faculty and administration, active and emeritus-others on in vitation only.

Social Science Research Network, 2008

This research analyses the effect of public transport accessibility on the prices of flats in Hon... more This research analyses the effect of public transport accessibility on the prices of flats in Hong Kong. In order to correctly identify the impact of transport convenience, we estimate regression models by regions in bear and bull markets separately. In addition, we consider the standard pricing variables such as age of the building, floor area of the flat, location in the city, and nearness to amenities. The results suggest that transport accessibility is strongly associated with value of a flat. The flats that are within walking distance of the subway station are significantly more expensive than those out of the walking distance; access to ferry stations is preferred except in the New Territories district; being close to bus stations is considered as a disadvantage, probably due to the noise associated with the traffic. These effects are stronger during bull market period. It seems that in 'wealthier' periods, convenience and the quality of living environment are more important.

Journal of Business Finance & Accounting, 1993

Journal of Real Estate Finance and Economics, Jul 10, 2017

The traditional modern portfolio model posits that return is a function of beta-the stock's sensi... more The traditional modern portfolio model posits that return is a function of beta-the stock's sensitivity to market movements. However, much research suggests that on an empirical basis this expectation does not hold. Pettengill, Sundaram and Mathur (1995) [PSM] suggest that the problem is that expected risk-return relationships are positive, but actual outcomes can vary. Thus we implement the PSM procedure to determine if we can obtain better explanatory ability for REIT returns relative to beta. Using PSM's suggested technique, we find evidence that REIT stocks with higher betas have more positive returns when the realized market returns exceed risk-free rates and more negative returns when the realized market returns fall below risk-free rates. Furthermore, we form REIT portfolios based on betas and find that similar results hold for portfolio level: REIT portfolios with higher betas have more positive returns when the realized market returns exceed risk-free rates and more negative returns when the realized market returns fall below risk-free rates. We also examine beta relative to up and downside risk as suggested in Harlow and Rao (1989) [HR]. By using HR conditional beta approach, we find that REIT investors seem to view losses differently than gains. Our study is to determine if we can validate the positive risk-return trade-off predicted by CAPM and to show that a significant and positive systematic beta-return relation exists in both static and conditional CAPM model settings. We believe that our research effort is the first to incorporate both static beta estimation and asymmetric beta estimation to show a significantly positive risk-return trade-off in the industry of real estate investment trusts. Using HR generalized Mean-Lower Partial Moment Asset

Southern Economic Journal, Oct 1, 1990

... to firms dealing with hazardous wastes without loan agreements containing provisions for inde... more ... to firms dealing with hazardous wastes without loan agreements containing provisions for indemnification, site evaluations, and ... Pollution Management firms can be held liable for all cleanup costs at dump sites they control, even if they generate none of the waste products. ...

Social Science Research Network, Oct 22, 2000

ABSTRACT This paper shows that increases in the minimum wage rate can have ambiguous effects on t... more ABSTRACT This paper shows that increases in the minimum wage rate can have ambiguous effects on the working hours and welfare of employed workers in competitive labor markets. The reason is that employers may not comply with the minimum wage legislation and instead pay a lower subminimum wage rate. If workers are risk neutral, we prove that working hours and welfare are invariant to the minimum wage rate. If workers are risk averse and imprudent (which is the empirically likely case), then working hours decrease with the minimum wage rate, while their welfare may increase.

Social Science Research Network, 2020

Social Science Research Network, 2008

... for Retaining Your Best Appraisers Fisher, Christine A.; and Wright, Jr., John H. A Review Ap... more ... for Retaining Your Best Appraisers Fisher, Christine A.; and Wright, Jr., John H. A Review Appraiser's Perspective Gelbtuch, Howard C. Airport Retailing Is Taking Off Graham, Marshall F.; and Bible, Douglas S. Classifications for Commercial Real Estate Hints, Mary Alice. ...

International Real Estate Review, Dec 31, 2019

Journal of Financial and Quantitative Analysis, Sep 1, 1995

Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 30, NO. 3, SEPTEMBER 1995 Signaling w... more Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 30, NO. 3, SEPTEMBER 1995 Signaling with Convertible Debt Wallace N. Davidson III, John L. Glascock, and Thomas V. Schwarz ∗ Abstract We test ...

Public Util. Fortn.; (United States), May 27, 1982

The Energy Citations Database (ECD) provides access to historical and current research (1948 to t... more The Energy Citations Database (ECD) provides access to historical and current research (1948 to the present) from the Department of Energy (DOE) and predecessor agencies.

Journal of Real Estate Finance and Economics, 1994

Small real estate rental firms in the United States tend to be employee-owner firms in which the ... more Small real estate rental firms in the United States tend to be employee-owner firms in which the landlord does maintenance and repairs as a part-time job rather than principal-agent firms in which the landlord hires part-time workers. Applying work incentives theory to explain this observation, we find that the difference in incentive compatibility conditions for the two forms of organization provides a bias toward the employee-owner form of organization for sufficiently small-scale operations. By supplying labor to the firm, the landlord avoids transferring economic rents to contract labor, rents that function as incentives for assuring profit-maximizing maintenance effort even when worker productivity is at its lowest.

Social Science Research Network, 2006

We examine and test the merits of diversifying portfolios of real estate securities international... more We examine and test the merits of diversifying portfolios of real estate securities internationally and across property types. Our analysis covers the period January 1990 through July 2005. Using data from the Global Property Research GPR 250 Property Securities Index, which has monthly prices for five property type indexes in 21 countries, we decompose country and property type sources of variation in real estate security returns. We find that property type effects are smaller than country effects. Property type specialization explains only 6% of the variance of national real estate securities index returns. Because property type effects are so small, country diversification is a more effective tool for achieving risk reduction than property type diversification. In addition, we find evidence that the relative importance of country effects is decreasing while that of industry effects is increasing. However, country effects continue to dominate property type effects.

Social Science Research Network, May 3, 1998

This article reexamines the now generally accepted notion that sell-offs of real estate assets pr... more This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.

Social Science Research Network, 2008

A key asset that is important in international markets is real estate-raw land and developed prop... more A key asset that is important in international markets is real estate-raw land and developed properties. Also, real estate can clearly have difference local rules for investment and transactions based upon bankruptcy protection, appraisal standards, lending standards, taxation and planning processes across countries. This can be particularly true when assessing a developing country. In this research, we assess the relative pricing behavior for land in Beijing China. We see this as important for three core reasons. First, China has a strong growth economy but is still in many ways an undeveloped country and thus we do not have significant data about asset pricing behavior there. Second, China has not traditionally had a market based land and property transfer system. Thus, it is interesting to assess how prices are determined relative to typical market expectations. Third, we have extensive evidence on pricing behavior in the USA and Europe but little such evidence on China. Are the same variables important in Land pricing in China and are there other unique local variables. For example, there have been twenty-two articles published in core journals on Chinese land and only two provide empirical estimates of value attributes and none of there are as extensive as our study. Thus, we consider a large data set of land prices in Beijing China and assess the relative pricing behavior. Our key results are that pricing behavior in general follows the traditional expected variables as determined by size, planning use, location and other neighborhood characteristics. However, we also find that land prices are associated with buyer characteristics; for example, foreign investors pay less than local investors.

In this research, we examine and present new evidence on the market activity following the initia... more In this research, we examine and present new evidence on the market activity following the initial public offering (IPO) of a real estate investment trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end funds for all IPOs between 1985 and 1988. Our results show that REITs, as a whole sample, experience signi®cantly greater bid-ask spreads immediately following the IPO compared to common stocks and funds. However, this outcome is driven by the equity REIT sample, with the mortgage REIT sample having signi®cantly smaller bid-ask spreads. This is in contrast to the evidence documented by Nelling, Mahoney, Hildebrand, and Goldstein (1995). We attribute our result to the underlying asset structure (such as equity, hybrid, and mortgage portfolios) of the various REITs. Overall, however, we ®nd that bid-ask spreads for REITs are similar to those of common stock when both asset structure and the traditional determinants of the spread (share price, trade volume, and returns variance) are considered.

Review of Pacific Basin Financial Markets and Policies, Jun 1, 2006

We investigate the stock market linkages between the United States and three Greater China Econom... more We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

Since the urban land reform in late 1980s, the land and property market have been gradually estab... more Since the urban land reform in late 1980s, the land and property market have been gradually established in China. Despite of a fast growing literature on this emerging market, quantitative analysis of the land value determination mechanism has been scarce. Using a unique data set of land sales in Beijing from 2005 to 2006, this paper presents a comprehensive quantitative investigation of the land market in China. We aim to discover whether there is an effective land market at work. Hedonic price modelling technique is adopted to analyze the determining factors of land value in Beijing. We take into account the factors of location, parcel size, planning constraints, social and economics characteristics of the neighbourhood, as well as the characteristics of the buyers. A semi parametric model using a kernel core is utilized, by which the land value is allowed to change nonlinearly and non-monotonically with parcel size. Our analysis yields encouraging findings. The land value in Beijing is determined by size, planning uses, location and other neighbourhood characteristics. This agrees with the urban economic theories and empirical findings from other jurisdiction, and hence suggests that the land market in China is maturing. On the other hand, the land price is also found to be associated with buyer characteristics. Foreign invested companies pay more for land parcels on average, everything else given equal. Our empirical findings suggest that the land price in Beijing is significantly influenced by social, economic and political factors.

The Otterbein Miscellany is published once or twice a year as an outlet for faculty writing on a ... more The Otterbein Miscellany is published once or twice a year as an outlet for faculty writing on a wide variety of topics. The college underwrites this publication in the belief that it will help maintain a genuine community of scholars. Papers are ac cepted, therefore, on the basis of their interest to the whole academic community rather than to members of a particular discipline. Editorial responsibility rests with a committee of the faculty. Contributions are considered from the Otterbein College faculty and administration, active and emeritus-others on in vitation only.

Social Science Research Network, 2008

This research analyses the effect of public transport accessibility on the prices of flats in Hon... more This research analyses the effect of public transport accessibility on the prices of flats in Hong Kong. In order to correctly identify the impact of transport convenience, we estimate regression models by regions in bear and bull markets separately. In addition, we consider the standard pricing variables such as age of the building, floor area of the flat, location in the city, and nearness to amenities. The results suggest that transport accessibility is strongly associated with value of a flat. The flats that are within walking distance of the subway station are significantly more expensive than those out of the walking distance; access to ferry stations is preferred except in the New Territories district; being close to bus stations is considered as a disadvantage, probably due to the noise associated with the traffic. These effects are stronger during bull market period. It seems that in 'wealthier' periods, convenience and the quality of living environment are more important.

Journal of Business Finance & Accounting, 1993

Journal of Real Estate Finance and Economics, Jul 10, 2017

The traditional modern portfolio model posits that return is a function of beta-the stock's sensi... more The traditional modern portfolio model posits that return is a function of beta-the stock's sensitivity to market movements. However, much research suggests that on an empirical basis this expectation does not hold. Pettengill, Sundaram and Mathur (1995) [PSM] suggest that the problem is that expected risk-return relationships are positive, but actual outcomes can vary. Thus we implement the PSM procedure to determine if we can obtain better explanatory ability for REIT returns relative to beta. Using PSM's suggested technique, we find evidence that REIT stocks with higher betas have more positive returns when the realized market returns exceed risk-free rates and more negative returns when the realized market returns fall below risk-free rates. Furthermore, we form REIT portfolios based on betas and find that similar results hold for portfolio level: REIT portfolios with higher betas have more positive returns when the realized market returns exceed risk-free rates and more negative returns when the realized market returns fall below risk-free rates. We also examine beta relative to up and downside risk as suggested in Harlow and Rao (1989) [HR]. By using HR conditional beta approach, we find that REIT investors seem to view losses differently than gains. Our study is to determine if we can validate the positive risk-return trade-off predicted by CAPM and to show that a significant and positive systematic beta-return relation exists in both static and conditional CAPM model settings. We believe that our research effort is the first to incorporate both static beta estimation and asymmetric beta estimation to show a significantly positive risk-return trade-off in the industry of real estate investment trusts. Using HR generalized Mean-Lower Partial Moment Asset

Southern Economic Journal, Oct 1, 1990

... to firms dealing with hazardous wastes without loan agreements containing provisions for inde... more ... to firms dealing with hazardous wastes without loan agreements containing provisions for indemnification, site evaluations, and ... Pollution Management firms can be held liable for all cleanup costs at dump sites they control, even if they generate none of the waste products. ...