Value Versus Growth International Real Estate Investment

Real Estate Economics, Forthcoming

Posted: 22 Feb 2012

See all articles by Kwame Addae-Dapaah

Kwame Addae-Dapaah

Independent

James R. Webb

Cleveland State University

Ho (David) Kim Hin

Independent

Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate

Date Written: February 21, 2012

Abstract

We use office and retail properties return data for US and some Asia Pacific cities to ascertain the relative performance of value and growth investment strategies. The results reveal that value portfolios outperform growth portfolios. Furthermore, while the results show that risk varies over time, time-varying risk analyses generally do not support the risk-based explanation for the value premium. Similarly, conditional market regressions do not explain the value premium anomaly as all the alphas are positive and significant. Moreover, the results imply that naïve extrapolation of past performance could be a credible explanation for the value premium.

Keywords: Value investment strategy, value properties, growth properties, beta premium, beta premium sensitivity, value premium

Suggested Citation

Addae-Dapaah, Kwame and Webb, James R. and Hin, Ho (David) Kim and Liow, Kim Hiang, Value Versus Growth International Real Estate Investment (February 21, 2012). Real Estate Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2008924

Kwame Addae-Dapaah (Contact Author)

Independent ( email )

No Address Available

James R. Webb

Cleveland State University ( email )

1860 E. 18th St., BU 327E
Cleveland, OH 44115
United States
216-687-4716 (Phone)
216-687-4716 (Fax)

Ho (David) Kim Hin

Independent ( email )

No Address Available

Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

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