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Title: Interest rate risk and time-varying excess returns for Asian property stocks
Authors: Liow, K.H. 
Huang, Q.
Keywords: Hong Kong
Interest rates
United Kingdom
Issue Date: 2006
Citation: Liow, K.H., Huang, Q. (2006). Interest rate risk and time-varying excess returns for Asian property stocks. Journal of Property Investment and Finance 24 (3) : 188-210. ScholarBank@NUS Repository.
Abstract: Purpose - Aims to investigate whether the level and volatility of interest rates affect the excess returns of major Asian listed property markets within a time-varying risk framework. Design/methodology/approach - A three-factor model is employed with excess return volatility, interest rate level and interest rate volatility as its factors. The generalized autoregressive conditionally heteroskedasticity in the mean (GARCH-M) analyzes are undertaken on monthly excess returns of property stock indexes for the period 1987-2003. Findings - Property stocks are generally sensitive to changes in the long-term and short-term interest rates and to a lesser extent, their volatility. Moreover, there are disparities in the magnitude as well as direction of sensitivities in interest rate level and volatility across the listed property markets and under different market conditions. Overall, results indicate changes in the ARCH parameter, risk premia, volatility persistence and interest rate level and volatility effects before and after the 1997 Asian financial crisis. However, these noted changes are not uniform and depend on the individual listed property markets. Originality/value - The findings enhance investors' understanding in financial asset pricing and complement existing evidence in international real estate. With the increasing significance of property stocks as real estate investment vehicles for international investors to gain property exposure in Asia and internationally, the paper is timely and provides the basis for more advanced research in international real estate investment strategies and capital asset pricing. © Emerald Group Publishing Limited.
Source Title: Journal of Property Investment and Finance
ISSN: 1463578X
DOI: 10.1108/14635780610659919
Appears in Collections:Staff Publications

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