Please use this identifier to cite or link to this item:
Title: Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective
Authors: Liow, K.H. 
Keywords: Mean reversion
Net asset value
Property stock price
Issue Date: 2003
Citation: Liow, K.H. (2003). Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective. Journal of Real Estate Finance and Economics 27 (2) : 235-255. ScholarBank@NUS Repository.
Abstract: This study investigates the relationship between property company stock prices (P) and their net asset values (NAV) from a mean reversion perspective. In contrast to U.K. evidence, we find that there is absence of a long-term stable relationship between the two series. However, the variance ratio tests and multi-period regressions suggest that both P and NAV series have exhibited transitory components. In addition, there is some evidence of mean reversion behavior of Singapore property stock prices toward the property companies' NAVs over the past 15 years from 1985 to 1999, both at individual company level and in the sector as a whole. The results also reveal that NAV, as a traditional proxy to fundamental value, is significant in capturing the dynamics of the changes in property stock prices. Hence NAV is relevant in property company valuation. However the extent of mean reversion between the property stock prices and NAVs is slow and deviations between the two markets' valuation could therefore be prolonged.
Source Title: Journal of Real Estate Finance and Economics
ISSN: 08955638
DOI: 10.1023/A:1024780404907
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.


checked on Feb 27, 2020


checked on Feb 27, 2020

Page view(s)

checked on Feb 18, 2020

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.