IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812795618_0009.html
   My bibliography  Save this book chapter

The Return Distributions of Property Shares in Emerging Markets

In: Asset Pricing

Author

Listed:
  • KEVIN WENLI LU

    (Corporate Finance Division, Global Risk Advisors, 845 Third Avenue, 20 Floor, New York, NY 10022, USA)

  • JIANPING (J.R) MEI

    (Stern School of Business, 44 West 4th Street, 7-69, New York, NY 10012, USA)

Abstract

Previous studies have characterized emerging market equities as having higher returns, higher volatility, and higher predictability compared with developed markets returns. The recent Asian crisis has once again drawn attention to the return and risk feature of emerging market properties. Increasingly, conventional wisdom about emerging markets has been questioned because of the abysmal performance of these markets in times of adversity. Do real estate investment in emerging markets still offer attractive returns to U.S. investors? Do correlations across different markets increase in down markets so that the much desired diversifications may not be present when they are needed the most? Are real estate securities markets predictable in emerging markets? To answer these questions, we examine the behavior of the property indices' returns in 10 emerging markets.

Suggested Citation

  • Kevin Wenli Lu & Jianping (J.R) Mei, 2003. "The Return Distributions of Property Shares in Emerging Markets," World Scientific Book Chapters, in: Jianping Mei & Hsien-Hsing Liao (ed.), Asset Pricing, chapter 9, pages 195-216, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812795618_0009
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812795618_0009
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812795618_0009
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

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

    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:wsi:wschap:9789812795618_0009. 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    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.