Please use this identifier to cite or link to this item:
|Title:||Regime changes in international securitized property markets||Authors:||Liow, K.H.
|Issue Date:||2005||Citation:||Liow, K.H.,Zhu, H.,Ho, D.K.,Addae-Dapaah, K. (2005). Regime changes in international securitized property markets. Journal of Real Estate Portfolio Management 11 (2) : 147-165. ScholarBank@NUS Repository.||Abstract:||This study investigates the existence and nature of return and volatility shifts in international securitized property market returns over the period 1987-2003. The findings indicate that securitized property markets have strong switching behavior in volatility. They are either in a low return-high volatility state or in a high return-low volatility state. In addition, the two regimes are persistent with differences observed in the expected duration and frequency of shifts between the states among markets. The findings have important implications for optimal asset allocation and portfolio performance in international real estate markets.||Source Title:||Journal of Real Estate Portfolio Management||URI:||http://scholarbank.nus.edu.sg/handle/10635/46227||ISSN:||10835547|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Sep 9, 2019
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.