Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/46227
Title: Regime changes in international securitized property markets
Authors: Liow, K.H. 
Zhu, H.
Ho, D.K. 
Addae-Dapaah, K. 
Issue Date: 2005
Source: Liow, K.H.,Zhu, H.,Ho, D.K.,Addae-Dapaah, K. (2005). Regime changes in international securitized property markets. Journal of Real Estate Portfolio Management 11 (2) : 147-165. ScholarBank@NUS Repository.
Abstract: This study investigates the existence and nature of return and volatility shifts in international securitized property market returns over the period 1987-2003. The findings indicate that securitized property markets have strong switching behavior in volatility. They are either in a low return-high volatility state or in a high return-low volatility state. In addition, the two regimes are persistent with differences observed in the expected duration and frequency of shifts between the states among markets. The findings have important implications for optimal asset allocation and portfolio performance in international real estate markets.
Source Title: Journal of Real Estate Portfolio Management
URI: http://scholarbank.nus.edu.sg/handle/10635/46227
ISSN: 10835547
Appears in Collections:Staff Publications

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