IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812795618_0010.html
   My bibliography  Save this book chapter

Conditional Risk Premiums of Asian Real Estate Stocks

In: Asset Pricing

Author

Listed:
  • JIANPING (J.P.) MEI

    (Stern School of Business, New York University, USA)

  • JIAWEI HU

    (Stern School of Business, New York University, USA)

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 that 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

Suggested Citation

  • Jianping (J.P.) Mei & Jiawei Hu, 2003. "Conditional Risk Premiums of Asian Real Estate Stocks," World Scientific Book Chapters, in: Jianping Mei & Hsien-Hsing Liao (ed.), Asset Pricing, chapter 10, pages 217-237, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812795618_0010
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812795618_0010
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812795618_0010
    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_0010. 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.