Conditional Risk Premiums of Asian Real Estate Stocks.
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
Year of publication: |
2000
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Authors: | Mei, Jianping ; Hu, Jiawei |
Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 21.2000, 3, p. 297-313
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Publisher: |
Springer |
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