Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/195694
Authors: 
Liow, Kim Hiang
Yeo, Sherry
Year of Publication: 
2018
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 6 [Year:] 2018 [Issue:] 1 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally, the unexpected shock correlating with the price-to-net asset value ratio in one market has a positive or negative correlation with the ratios of other markets. Our results offer fresh insights to portfolio managers, policymakers, and academic researchers into the regional and country market dynamics of public real estate valuation and cross-country interaction from the long-term and short-term perspectives.
Subjects: 
price-to-net asset value ratio
Asian public real estate
panel co-integration
common factors
generalized spillover index
generalized impulse response functions
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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