Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets

26 Pages Posted: 28 Dec 2006

See all articles by Joseph T. L. Ooi

Joseph T. L. Ooi

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

Kim Hiang Liow

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

Abstract

This paper examines the performance of real estate stocks listed in seven developing markets in East Asia between 1992 and 2002. Using panel regressions, the goal is to identify determinants of the risk-adjusted returns of real estate securities traded in these markets. The empirical evidence suggests that size, book-to-market value, capital structure and market diversification have significant influence on the performance of real estate securities. Asset structure and development exposure, however, do not appear to have any significant effect on the returns behavior, while dividend yield has limited influence. As expected, interest rates and market condition have significant impact on the returns of real estate stocks. The Asian Financial Crisis also has an adverse impact on stocks' performance.

Keywords: risk-adjusted return, real estate securities, East Asia

JEL Classification: R11, R13, R33, P51,P52,O16,N85,N45,N25,L85,C35,C15

Suggested Citation

Ooi, Joseph T. L. and Liow, Kim Hiang, Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets. Journal of Real Estate Research Vol. 26, No. 4, 2004. Available at SSRN: https://ssrn.com/abstract=953971

Joseph T. L. Ooi (Contact Author)

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

4 Architecture Drive
Singapore 117566
Singapore

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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