VALUE AND GROWTH STRATEGIES OF ASIA-PACIFIC PROPERTY STOCKS

Abstract

The study analyses the impact of fundamental stock variables (Price-to-Book ratio, Dividend Yield and Price-to-Earning ratio) on value and growth of property stocks' returns in the Asia-Pacific markets over a 10-year period from June 1995 - June 2005. In addition, with a sample that includes 175 property stocks listed in Malaysia, Japan, Singapore, Hong Kong and Thailand, the applicability of beta in explaining the difference in abnormal returns and the relative impact of fundamental variables on stock returns are also examined. The results demonstrated that these variables alone are insufficient in capturing the majority of cross-sectional variations in stock returns, implying that investors could not depend on any or a combination of these variables in making investment decisions. However, of the 3 variables, there is evidence pointing to lower PTB ratio having a considerable positive impact on returns relative to the other 2 variables. The study has also confirmed the effectiveness of beta in explaining abnormal returns, indicating that higher risk in value stocks leads to superior abnormal returns.