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Dynamic Relationships between Price and Net Asset Value for Asian Real Estate Stocks

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  • Kim Hiang LIOW

    (Department of Real Estate, National University of Singapore, Singapore 117566, Singapore)

  • Sherry YEO

    (Department of Real Estate, National University of Singapore, Singapore 117566, Singapore)

Abstract

This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally, the unexpected shock correlating with the price-to-net asset value ratio in one market has a positive or negative correlation with the ratios of other markets. Our results offer fresh insights to portfolio managers, policymakers, and academic researchers into the regional and country market dynamics of public real estate valuation and cross-country interaction from the long-term and short-term perspectives.

Suggested Citation

  • Kim Hiang LIOW & Sherry YEO, 2018. "Dynamic Relationships between Price and Net Asset Value for Asian Real Estate Stocks," IJFS, MDPI, vol. 6(1), pages 1-17, March.
    • Handle: RePEc:gam:jijfss:v:6:y:2018:i:1:p:28-:d:134953
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    References listed on IDEAS

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    Cited by:

    1. Kumala, Calvin & Ye, Zhen & Zhu, Yite & Ke, Qiulin, 2024. "Why does price deviate from net asset value? The case of Singaporean infrastructure REITs," International Review of Financial Analysis, Elsevier, vol. 93(C).

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