Please use this identifier to cite or link to this item:
|Title:||Interest rate sensitivity and risk premium of property stocks||Authors:||Liow, K.H.
|Keywords:||Arbitrage pricing theory
Interest rate sensitivity
|Issue Date:||2003||Citation:||Liow, K.H.,Ooi, J.T.L.,Wang, L.K. (2003). Interest rate sensitivity and risk premium of property stocks. Journal of Property Research 20 (2) : 117-132. ScholarBank@NUS Repository. https://doi.org/10.1080/0959991032000109508||Abstract:||This study examines the relationship between interest rate risk and returns of traded property stocks from an asset pricing perspective. Three exogenous factors are included in the APT model, in particular unexpected long-term interest rate fluctuation, unexpected market returns and unexpected industry returns. Using the weekly returns of 18 property stocks listed in Singapore between 1992 and 2001, an Iterated Non-linear Seeming Unrelated Regression (ITNLSUR) technique was employed to simultaneously estimate the sensitivities of these factors and how they are priced. Consistent with existing empirical evidence, the regression results show that the interest rate risk of property stocks is systematic and is priced in the APT framework. The study also reveals that the pricing of the interest rate risk is sensitive to the prevailing market conditions.||Source Title:||Journal of Property Research||URI:||http://scholarbank.nus.edu.sg/handle/10635/46173||ISSN:||09599916||DOI:||10.1080/0959991032000109508|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on May 23, 2019
checked on May 22, 2019
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.