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

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