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Title: Macroeconomic risk and excess returns of property stocks: Some international evidence
Keywords: property stocks,expected risk premium,Principal Component Analysis
Issue Date: 7-Jun-2004
Citation: 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.
Appears in Collections:Master's Theses (Open)

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