Andy Naranjo

University of Florida - Warrington College of Business Administration

Emerson-Merrill Lynch Associate Professor of Finance

P.O. Box 117168

Gainesville, FL 32611-7168

United States

  • University of Florida - Warrington College of Business Administration

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    • Tel: 352-392-3781
SCHOLARLY PAPERS

34

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111

Scholarly Papers (34)

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1.

Capital Market Development, Integration, Legal Systems, and the Value of Corporate Diversification: A Cross-Country Analysis

Tuck-JFQA Contemporary Corporate Governance Issues II Conference
Number of pages: 34 Posted: 31 Jul 2002
Larry Fauver, Joel F. Houston and Andy Naranjo
University of Tennessee, Knoxville - Department of Finance, University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Warrington College of Business Administration
Downloads 1,329 (13,938)
Citation 14

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2.

Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment

Downloads 999 ( 21,496)

Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment

Number of pages: 43 Posted: 15 May 2008
Jim Clayton, David C. Ling and Andy Naranjo
University of Connecticut School of Business, University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 999 (21,124)
Citation 1

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Sentiment measures, limits to arbitrage, principal components, error-correction

Commercial Real Estate Valuation: Fundamentals versus Investor Sentiment

Journal of Real Estate Finance and Economics, Vol. 38, No. 1, 2009
Posted: 14 Oct 2008
Jim Clayton, David C. Ling and Andy Naranjo
University of Connecticut School of Business, University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration

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investment, capitalization rates, asset pricing, investor rationality

3.

Corporate Socially Responsible Investments: CEO Altruism, Reputation, and Shareholder Interests

Borghesi, Richard, Joel Houston, and Andy Naranjo, 2014. Corporate Socially Responsible Investments: CEO Altruism, Reputation, and Shareholder Interests, Journal of Corporate Finance 26, 164-181.
Number of pages: 46 Posted: 08 Nov 2012 Last Revised: 02 Oct 2014
Richard Borghesi, Joel F. Houston and Andy Naranjo
University of South Florida-Sarasota, University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Warrington College of Business Administration
Downloads 565 (47,127)
Citation 7

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Corporate Social Responsibility, Corporate Governance, Media Coverage, Political Connections

4.

CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers

Number of pages: 63 Posted: 13 Apr 2014 Last Revised: 17 Aug 2019
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 494 (55,822)
Citation 3

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Credit default swaps; CDS returns; Credit ratings; Momentum; Spillover; Endogenous liquidity; Credit risk; Information flows

5.

The Effects of Purchases of Mortgages and Securitization by Government Sponsored Enterprises on Mortgage Yield Spreads and Volatility

Journal of Real Estate Finance & Economics, Vol. 25, No. 2
Number of pages: 43 Posted: 10 May 2002
Andy Naranjo and Alden L. Toevs
University of Florida - Warrington College of Business Administration and First Manhattan Consulting Group
Downloads 429 (66,427)
Citation 14

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mortgage rents, mortgage volatility, government sponsored enterprises, conforming vs. non-conforming rates, vector error correction model, GARCH model

6.

Cross-Country Comovement of Momentum Returns

Number of pages: 48 Posted: 18 Mar 2004
Andy Naranjo and R. Burt Porter
University of Florida - Warrington College of Business Administration and Iowa State University
Downloads 405 (71,262)
Citation 5

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7.

When do CDS Spreads Lead? Rating Events, Private Entities, and Firm-specific Information Flows

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 31 Mar 2017 Last Revised: 01 Jun 2018
Jongsub Lee, Andy Naranjo and Guner Velioglu
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 370 (79,104)
Citation 3

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CDS versus stocks and bonds, credit ratings, firm-specific credit information flow, lead-lag relations, private firms

8.

Borrowing Beyond Borders: The Geography and Pricing of Syndicated Bank Loans

Number of pages: 51 Posted: 12 Mar 2007
Joel F. Houston, Jennifer Itzkowitz and Andy Naranjo
University of Florida - Department of Finance, Insurance and Real Estate, Seton Hall University - Department of Finance & Legal Studies and University of Florida - Warrington College of Business Administration
Downloads 367 (79,893)
Citation 8

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Loan pricing, Global lending markets, Syndicated Loans

9.

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Downloads 361 ( 81,413)

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Number of pages: 97 Posted: 09 Aug 2016 Last Revised: 03 Jan 2019
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 302 (98,834)

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Related securities, stock return momentum, momentum crashes, credit default swaps, multi-market momentum signals, aligned/misaligned momentum, asset return momentum, asset substitution, limits to arbitrage, crash risk management

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 98 Posted: 02 Jun 2016 Last Revised: 08 Aug 2018
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 53 (382,176)

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Related securities, stock return momentum, momentum crashes, credit default swaps, multi-market momentum signals, aligned/misaligned momentum, asset return momentum, asset substitution, limits to arbitrage, crash risk management.

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Number of pages: 97 Posted: 09 Aug 2016
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 6 (630,875)

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Related securities, stock return momentum, momentum crashes, credit default swaps, multi-market momentum signals, aligned/misaligned momentum, asset return momentum, asset substitution, limits to arbitrage, crash risk management

10.

Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

Downloads 343 ( 86,388)
Citation 2

Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 25 Jul 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 236 (128,160)

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International CDS markets, corporate credit risk, sovereign risk, country risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

Number of pages: 60 Posted: 02 Nov 2015 Last Revised: 03 Nov 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 107 (252,821)
Citation 2

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International CDS markets, corporate credit risk, sovereign risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

11.

Asset Opaqueness, Split Bond Ratings, and Rating Migration

Number of pages: 35 Posted: 02 Jun 2005
Miles Livingston, Andy Naranjo and Lei Zhou
University of Florida - Department of Finance, Insurance and Real Estate, University of Florida - Warrington College of Business Administration and Northern Illinois University - Department of Finance
Downloads 343 (86,388)
Citation 4

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bond rating, split rating, asset opaqueness, rating migration, rating change

12.

REIT Leverage and Return Performance: Keep Your Eye on the Target

Downloads 267 (113,376)
Citation 4

REIT Leverage and Return Performance: Keep Your Eye on the Target

Number of pages: 45 Posted: 14 Sep 2015 Last Revised: 15 Aug 2016
Emanuela Giacomini, David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration, University of Florida - Hough Graduate School of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 213 (141,855)

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REITs, Leverage, Capital structure, Returns, Investment performance, Financial constraints, Distress, Crisis

REIT Leverage and Return Performance: Keep Your Eye on the Target

Number of pages: 45 Posted: 17 Aug 2016
Emanuela Giacomini, David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration, University of Florida - Hough Graduate School of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 54 (378,839)

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REITs, Leverage, Capital structure, Returns, Investment performance, Financial constraints, Distress, Crisis

13.

Customer-base Concentration and the Transmission of Idiosyncratic Volatility along the Vertical Chain

Number of pages: 69 Posted: 28 Feb 2014 Last Revised: 22 Nov 2016
Atanas Mihov and Andy Naranjo
Federal Reserve Bank of Richmond and University of Florida - Warrington College of Business Administration
Downloads 207 (145,973)
Citation 2

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Customer-base concentration; Idiosyncratic volatility; Stock return volatility; Firm risk profile; Network connections; Supply chain; Customer type

14.

The Exodus from Sovereign Risk: Sovereign Ceiling Violations in Credit Default Swap Markets

Number of pages: 69 Posted: 22 Mar 2013 Last Revised: 09 May 2013
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 184 (162,801)
Citation 2

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Credit default swap, sovereign ceiling, transfer and convertibility risk, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirement, credit rating

15.

Borrowing Beyond Borders: Foreign Assets, Lender Choice, and Loan Pricing in the Syndicated Bank Loan Market

Journal of Corporate Finance, Vol. 42, 2017
Number of pages: 46 Posted: 09 May 2014 Last Revised: 19 Jun 2019
Joel F. Houston, Jennifer Itzkowitz and Andy Naranjo
University of Florida - Department of Finance, Insurance and Real Estate, Seton Hall University - Department of Finance & Legal Studies and University of Florida - Warrington College of Business Administration
Downloads 163 (181,064)
Citation 2

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Syndicated loans, multinational firms, lead lender, loan pricing, geography, foreign assets, FDI, integration, international banking

16.

Going Abroad in a Risky World: Geographic Diversification, Institutional Frictions, and Corporate Leverage

Number of pages: 58 Posted: 02 Jun 2016 Last Revised: 07 Dec 2018
Jongsub Lee, Leming Lin and Andy Naranjo
University of Florida - Warrington College of Business Administration, University of Pittsburgh - Katz Graduate School of Business and University of Florida - Warrington College of Business Administration
Downloads 162 (181,993)

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Multinational firms, MNCs, Corporate leverage, Geographic diversification, Cash flow volatility, Country risk, Tax, Regulatory frictions, Political risk

17.

There's No Place Like Home: Information Asymmetries, Local Asset Concentration, and Portfolio Returns

Number of pages: 49 Posted: 13 Mar 2017 Last Revised: 01 Mar 2018
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance
Downloads 126 (223,230)
Citation 1

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Asset Concentration, Information Asymmetry, Home Bias, Location, Real Estate Returns

18.

Asset Location, Timing Ability, and the Cross-Section of Commercial Real Estate Returns

Downloads 96 (270,510)
Citation 1

Asset Location, Timing Ability, and the Cross-Section of Commercial Real Estate Returns

Number of pages: 53 Posted: 05 Jan 2017 Last Revised: 05 May 2018
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance
Downloads 96 (272,453)
Citation 1

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real estate investment trusts, private commercial real estate, asset location, market timing, portfolio allocation, return performance

19.

Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'

Downloads 85 (292,343)

Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'

Number of pages: 61 Posted: 02 Nov 2015 Last Revised: 03 Nov 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 58 (365,633)

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International CDS markets, corporate credit risk, sovereign risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 28 Jul 2015
Jongsub Lee, Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 27 (493,136)

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International CDS markets, corporate credit risk, sovereign risk, country risk, multinational corporations, asset geographic location, cross-listing, property rights, creditor rights, disclosure requirements, sovereign ceiling violations

20.

MSA Geographic Allocations, Property Selection, and Performance Attribution in Public and Private Real Estate Markets

Number of pages: 43 Posted: 16 Sep 2015
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Hough Graduate School of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance
Downloads 60 (354,451)

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real estate investment trusts, private commercial real estate, return performance, portfolio allocation and selection

21.

Value, Survival, and the Evolution of Firm Organizational Structure

Financial Management 36(3), 5-31, 2006
Number of pages: 39 Posted: 21 Sep 2012
Richard Borghesi, Joel F. Houston and Andy Naranjo
University of South Florida-Sarasota, University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Warrington College of Business Administration
Downloads 60 (354,451)

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Diversification, Firm Evolution, Survival

22.

Institutional Capital Flows and Return Dynamics in Private Commercial Real Estate Markets

Real Estate Economics, Vol. 37, Issue 1, pp. 85-116, Spring 2009
Number of pages: 32 Posted: 27 Apr 2009
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 4 (617,598)
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23.

Leverage and Returns: A Cross-Country Analysis of Public Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 51, No. 2, 2015
Posted: 26 Aug 2015
Andy Naranjo, David C. Ling and Emanuela Giacomini
University of Florida - Warrington College of Business Administration, University of Florida - Hough Graduate School of Business Administration and University of Florida - Warrington College of Business Administration

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Asset returns; Leverage; REITs; Cross-country real estate returns; Financial constraints; Crisis

24.

Returns and Information Transmission Dynamics in Public and Private Real Estate Markets

Real Estate Economics, Vol. 43, Issue 1, pp. 163-208, 2015
Number of pages: 46 Posted: 17 Feb 2015
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration
Downloads 0 (666,078)
Citation 2
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25.

Investor Sentiment, Limits to Arbitrage and Private Market Returns

Real Estate Economics, Vol. 42, Issue 3, pp. 531-577, 2014
Number of pages: 47 Posted: 28 Aug 2014
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance
Downloads 0 (666,078)
Citation 1
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26.

Returns and Information Transmission Dynamics in Public and Private Real Estate Markets

Real Estate Economics, Forthcoming
Posted: 07 Feb 2014
David C. Ling and Andy Naranjo
University of Florida - Hough Graduate School of Business Administration and University of Florida - Warrington College of Business Administration

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real estate investment trusts, private commercial real estate, return performance, return volatility, information transmission

27.

Investor Sentiment, Limits to Arbitrage, and Private Market Returns

Real Estate Economics, Forthcoming
Posted: 04 Jan 2013
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Hough Graduate School of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance

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investor sentiment, arbitrage, private markets

28.

Real Estate Ownership, Leasing Intensity, and Value: Do Stock Returns Reflect a Firm's Real Estate Holdings?

Journal of Real Estate Finance and Economics, Vol. 44, Nos. 1/2, 2012
Posted: 26 Jan 2012
David C. Ling, Andy Naranjo and Michael D. Ryngaert
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and University of Florida - Department of Finance, Insurance and Real Estate

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Leasing, Real estate exposure, Off-balance sheet financing, Real estate risk

29.

Investor Sentiment and Asset Pricing in Public and Private Markets

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
David C. Ling, Andy Naranjo and Benjamin Scheick
University of Florida - Hough Graduate School of Business Administration, University of Florida - Warrington College of Business Administration and Villanova University - Department of Finance

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30.

Dedicated REIT Mutual Fund Flows and REIT Performance

Journal of Real Estate Finance and Economics, Vol. 32, No. 4, 2006
Posted: 11 Oct 2005
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration

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31.

Commercial Real Estate Return Performance: A Cross-Country Analysis

Journal of Real Estate Finance & Economics, Vol. 24, No. 1 & 2
Posted: 17 May 2002
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration

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real estate return performance, risk-adjusted real estate returns, international real estate returns, international asset pricing

32.

The Predictability of Equity REIT Returns: Time Variation and Economic Significance

The Journal of Real Estate Finance and Economics, Vol. 20, No. 2
Posted: 14 Dec 1999
David C. Ling, Michael D. Ryngaert and Andy Naranjo
University of Florida - Warrington College of Business Administration, University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Warrington College of Business Administration

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33.

Government Intervention and Adverse Selection Costs in Foreign Exchange Markets

Review of Financial Studies, Vol. 13, Iss. 2
Posted: 08 Dec 1999
Mahendrarajah Nimalendran and Andy Naranjo
University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Warrington College of Business Administration

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34.

Economic Risk Factors and Commercial Real Estate Returns

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Economic Risk Factors and Commercial Real Estate Returns

J. OF REAL ESTATE FINANCE AND ECONOMICS, Vol. 14 No. 3
Posted: 14 Mar 1997
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration

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Economic Risk Factors and Commercial Real Estate Returns

Posted: 29 Mar 1996
David C. Ling and Andy Naranjo
University of Florida - Warrington College of Business Administration and University of Florida - Warrington College of Business Administration

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