The Return Distributions of Property Shares in Emerging Markets

Kevin Wenli Lu and Jianping (J.r) Mei
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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

Chapter 9 in Asset Pricing, 2003, pp 195-216 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractPrevious 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.

Date: 2003
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