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Conditional Risk Premiums of Asian Real Estate Stocks

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  • Mei, Jianping
  • Hu, Jiawei

Abstract

This paper uses a multi-factor latent variable model to examine the time variation of expected returns on Asian property stocks. Using data from 1990 to 1997, we found strong evidence of time-varying risk premium, suggesting property development based on constant discount rate may underestimate the cost of capital. A further study using a multi-country model suggests that conditional excess returns of many crisis-stricken economies appear to move quite closely with each other. This supports the hypothesis that the risk premiums in these Asian markets move closely over time As a result, they provide a partial explanation of market contagion in the region. Copyright 2000 by Kluwer Academic Publishers

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  • Mei, Jianping & Hu, Jiawei, 2000. "Conditional Risk Premiums of Asian Real Estate Stocks," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 297-313, November.
    • Handle: RePEc:kap:jrefec:v:21:y:2000:i:3:p:297-313
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    Citations

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    Cited by:

    1. Graeme Newell & Chau Kwong Wing & Wong Siu Kei & Liow Kim Hiang, 2009. "The significance and performance of property securities markets in the Asian IFCs," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 125-148, October.
    2. Kim Hiang Liow & James R. Webb, 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 80-89, April.
    3. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    4. Kim Liow & Kim Ho & Muhammad Ibrahim & Ziwei Chen, 2009. "Correlation and Volatility Dynamics in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 202-223, August.
    5. Thi Kim Nguyen & Muhammad Najib Razali, 2020. "The dynamics of listed property companies in Indonesia," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 38(2), pages 91-106, January.
    6. Saqib Muneer & Babar Zaheer Butt & Kashif Ur Rehman, 2011. "A Multifactor Model of Banking Industry Stock Returns: An Emerging Market Perspective," Information Management and Business Review, AMH International, vol. 2(6), pages 267-275.
    7. Tien Foo Sing & Leiting Deng & Hong Wang, 2007. "Tests of common real estate risk premia in a time‐varying expected return framework," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(4), pages 359-369, July.
    8. Carolyn W. Chang & Kian Guan Lim & Zhi Min Zhang, 2024. "Leverage Strategies of Real Estate Investment Trusts and Real Estate Operating Companies," International Real Estate Review, Global Social Science Institute, vol. 27(1), pages 81-115.
    9. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
    10. George Milunovich & Stefan Trück, 2013. "Regional and global contagion in real estate investment trusts," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(1), pages 53-77, February.
    11. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.

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