Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.rfe.2008.05.002
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dc.titleCommon factors in international securitized real estate markets
dc.contributor.authorLiow, K.H.
dc.contributor.authorWebb, J.R.
dc.date.accessioned2013-10-14T05:07:51Z
dc.date.available2013-10-14T05:07:51Z
dc.date.issued2009
dc.identifier.citationLiow, K.H., Webb, J.R. (2009). Common factors in international securitized real estate markets. Review of Financial Economics 18 (2) : 80-89. ScholarBank@NUS Repository. https://doi.org/10.1016/j.rfe.2008.05.002
dc.identifier.issn10583300
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46100
dc.description.abstractThis study investigates the presence of common factors in the securitized real estate markets of the Untied States (US), United Kingdom (UK), Hong Kong (HK), and Singapore (SG). Using a combination of factor analysis and canonical correlation analysis on 10-year monthly return data for 142 real estate securities in the four markets, more common risk factors among real estate securities within a country than across countries are detected. In addition, there is at least one common securitized real estate market factor that is moderately correlated with the world real estate market, and to a lesser extent, with the world stock market. However, the degree of linkage across the four securitized real estate markets is much weaker than the strong linkages present across the four economies. It further appears that the extent to which correlations are found in international securitized real estate markets might largely be due to the increasing integrated nature of the world real economy, rather than a result of the globalization of financial markets. The results are preliminary, but indicative, and suggest that more studies exploring how common factors, together with the local market portfolio, could help explain the return-generating process of securitized real estate. © 2008 Elsevier B.V.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.rfe.2008.05.002
dc.sourceScopus
dc.subjectCanonical correlation analysis
dc.subjectCommon factors
dc.subjectCorrelation structure
dc.subjectGlobalization of financial markets
dc.subjectMacroeconomy
dc.subjectSecuritized real estate markets
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1016/j.rfe.2008.05.002
dc.description.sourcetitleReview of Financial Economics
dc.description.volume18
dc.description.issue2
dc.description.page80-89
dc.identifier.isiut000213559600004
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