Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14001
Title: Macroeconomic risk and excess returns of property stocks: Some international evidence
Authors: HUANG QIONG
Keywords: property stocks,expected risk premium,Principal Component Analysis
Issue Date: 7-Jun-2004
Source: HUANG QIONG (2004-06-07). Macroeconomic risk and excess returns of property stocks: Some international evidence. ScholarBank@NUS Repository.
Abstract: This research seeks to provide an alternative perspective on the dynamic relationship between property stock market and macroeconomy by examining whether the expected risk premium on property stocks in Hong Kong, Singapore, and two well-developed markets of Japan and UK could be linked to the conditional volatilities of a set of principal components derived from six chosen macroeconomic variables: growth in gross domestic product, industrial production growth, unexpected inflation, interest rate, money supply growth, and changes in exchange rate. Three econometric techniques are involved in: Principal Component Analysis, Generalized Autoregressive Conditional Heteroskedasticity model and Generalized Method of Moments estimator. The final results suggest that the expected risk premiums on property stocks and the conditional variances of property stock excess returns are time varying and related in a predictable way to the conditional variances and conditional covariances of the macroeconomic factors. The evidence is useful to international investors and portfolio managers.
URI: http://scholarbank.nus.edu.sg/handle/10635/14001
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
upload.pdf2.26 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

344
checked on Dec 11, 2017

Download(s)

264
checked on Dec 11, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.