Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-006-0338-z
Title: Net asset value discounts for Asian-Pacific real estate companies: Long-run relationships and short-term dynamics
Authors: Liow, K.H. 
Li, Y.
Keywords: Asia-Pacific securitized real estate markets
Dynamic panel error-correction modeling
Net asset value discount/Premium
Panel cointegration
Panel unit root
Issue Date: 2006
Source: Liow, K.H., Li, Y. (2006). Net asset value discounts for Asian-Pacific real estate companies: Long-run relationships and short-term dynamics. Journal of Real Estate Finance and Economics 33 (4) : 363-388. ScholarBank@NUS Repository. https://doi.org/10.1007/s11146-006-0338-z
Abstract: This study investigates the time series behavior of real estate company net asset value discount/premium (NAVDISC) in eight Asian-Pacific securitized real estate markets from 1995 to 2003. We postulate that if there is a stable NAVDISC for real estate companies in the long-run, then there should be a long-run cointegrating relation between their stock prices (Ps) and net asset values (NAVs). Employing panel data cointegration econometrics that comprises three approaches; panel unit root test, heterogeneous panel cointegration test and dynamic panel error-correction modeling (ECM), we find that long run NAVDISCs persist in individual Asian-Pacific securitized real estate markets and the regional market. All the NAVDISCs exhibit mean reversion and that the respective disequilibrium errors fluctuate around the mean values. Moreover, NAV is an important factor that statistically explains the price variations in real estate stock prices regardless of their speed of mean-reversion in the NAV discount /premium. © Springer Science + Business Media, LLC 2006.
Source Title: Journal of Real Estate Finance and Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46195
ISSN: 08955638
DOI: 10.1007/s11146-006-0338-z
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

6
checked on Dec 5, 2017

WEB OF SCIENCETM
Citations

5
checked on Dec 5, 2017

Page view(s)

59
checked on Dec 11, 2017

Google ScholarTM

Check

Altmetric


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