This paper is a contribution to the literature in international real estate market volatility dynamics and linkages from an alternative perspective. We analyzes the dynamics and transmission of conditional volatilities with multiple structural changes in mean returns and volatility using the Bai...

This study presents an investigation as to whether persistence in international real estate market return and volatility takes the form of long memory using a battery of five econometric tests on total-hedged and public real estate series. For the return series, we find little evidence of long...

This study empirically examines the dynamics of conditional returns, volatility and systematic risk in ten developing and developed real estate markets and two world market indexes (i.e. world real estate and world stock). We find clustering, predictability, strong persistence and asymmetry in...

This study investigates the relationship between property company stock prices (P) and their net asset values (NAV) from a mean reversion perspective. In contrast to UK evidence, we find that there is absence of a long-term stable relationship between the two series. However, the variance ratio...

An interesting question in corporate real estate literature is whether real estate can improve the stock market performance of quot;property-intensivequot; non-real estate firms. Using a data set comprising 75 non-real estate corporations that own at least 20% properties, this paper empirically...

This paper examines the performance of real estate stocks listed in seven developing markets in East Asia between 1992 and 2002. Using panel regressions, the goal is to identify determinants of the risk-adjusted returns of real estate securities traded in these markets. The empirical evidence...

This study investigates the time series behavior of real estate company net asset value discount/premium (NAVDISC) in eight Asian-Pacific securitized real estate markets from 1995 to 2003. We postulate that if there is a stable NAVDISC for real estate companies in the long-run, then there should...

This study considers whether securitized real estate and stock markets have long-term co-memories and implications for short-term adjustment. Our results offer reasonable support for fractional cointegration (characteristic of a long memory process) between securitized real estate price, stock...

Market critics often cited an apparent lack of relationship between corporate performance and stock prices as the main reason for a poor prediction of stock prices. This study attempts to examine whether prices of 15 sample listed property stocks in Singapore reflect their corporate fundamental...

<title>Abstract</title> Corporate real estate management (CREM) practices in Asia have been a relatively under‐researched area compared with those from Europe and North America. This paper represents an attempt to enhance the current knowledge of CREM in Asia. Part I of this study provides a snapshot of CREM...