IDEAS home Printed from https://ideas.repec.org/a/taf/jpropr/v20y2003i2p117-132.html
   My bibliography  Save this article

Interest rate sensitivity and risk premium of property stocks

Author

Listed:
  • Kim Hiang Liow
  • Joseph Ooi
  • Loke Kiat Wang

Abstract

This study examines the relationship between interest rate risk and returns of traded property stocks from an asset pricing perspective. Three exogenous factors are included in the APT model, in particular unexpected long-term interest rate fluctuation, unexpected market returns and unexpected industry returns. Using the weekly returns of 18 property stocks listed in Singapore between 1992 and 2001, an Iterated Non-linear Seeming Unrelated Regression (ITNLSUR) technique was employed to simultaneously estimate the sensitivities of these factors and how they are priced. Consistent with existing empirical evidence, the regression results show that the interest rate risk of property stocks is systematic and is priced in the APT framework. The study also reveals that the pricing of the interest rate risk is sensitive to the prevailing market conditions.

Suggested Citation

  • Kim Hiang Liow & Joseph Ooi & Loke Kiat Wang, 2003. "Interest rate sensitivity and risk premium of property stocks," Journal of Property Research, Taylor & Francis Journals, vol. 20(2), pages 117-132, January.
  • Handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:117-132
    DOI: 10.1080/0959991032000109508
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/0959991032000109508
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/0959991032000109508?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tracey West & Andrew C. Worthington, 2003. "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M," School of Economics and Finance Discussion Papers and Working Papers Series 160, School of Economics and Finance, Queensland University of Technology.
    2. Alexey Akimov & Simon Stevenson, 2013. "Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates," ERES eres2013_346, European Real Estate Society (ERES).
    3. W. Scott Frame & Eva Steiner, 2022. "Quantitative easing and agency MBS investment and financing choices by mortgage REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(4), pages 931-965, December.
    4. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    5. Ramzi Tarazi & Mohammad Zahid Hasan, 2019. "The Effect of Economic and Fundamental Factors on the Australian Property Performance," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 155-184.
    6. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jpropr:v:20:y:2003:i:2:p:117-132. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RJPR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.