Conditional Risk Premiums of Asian Real Estate Stocks

Posted: 12 Jun 2001

See all articles by Jianping Mei

Jianping Mei

New York University (NYU) - Department of Finance

Jiawei Hu

New York University (NYU) - Leonard N. Stern School of Business

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.

Suggested Citation

Mei, Jianping and Hu, Jiawei, Conditional Risk Premiums of Asian Real Estate Stocks. Journal of Real Estate, Finance & Economics, Vol. 21, No. 3. Available at SSRN: https://ssrn.com/abstract=255248

Jianping Mei (Contact Author)

New York University (NYU) - Department of Finance ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0354 (Phone)
212-995-4221 (Fax)

Jiawei Hu

New York University (NYU) - Leonard N. Stern School of Business ( email )

44 West 4th Street
Suite 9-160
New York, NY NY 10012
United States
(212) 998-0411 (Phone)
(212) 995-4221 (Fax)

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