Conditional Risk Premiums of Asian Real Estate Stocks

Jianping (J.P.) Mei and Jiawei Hu
Additional contact information
Jianping (J.P.) Mei: Stern School of Business, New York University, USA
Jiawei Hu: Stern School of Business, New York University, USA

Chapter 10 in Asset Pricing, 2003, pp 217-237 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis 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

Date: 2003
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812795618_0010 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812795618_0010 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812795618_0010

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().