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Conditional Risk Premiums of Asian Real Estate Stocks

Jianping Mei and Jiawei Hu

The Journal of Real Estate Finance and Economics, 2000, vol. 21, issue 3, 297-313

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

Date: 2000
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