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Int. J. Financial Stud. 2018, 6(1), 28; https://doi.org/10.3390/ijfs6010028

Dynamic Relationships between Price and Net Asset Value for Asian Real Estate Stocks

Department of Real Estate, National University of Singapore, Singapore 117566, Singapore
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Received: 13 November 2017 / Revised: 6 January 2018 / Accepted: 9 February 2018 / Published: 6 March 2018
(This article belongs to the Special Issue Financial Economics)
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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. View Full-Text
Keywords: price-to-net asset value ratio; Asian public real estate; panel co-integration; common factors; generalized spillover index; generalized impulse response functions price-to-net asset value ratio; Asian public real estate; panel co-integration; common factors; generalized spillover index; generalized impulse response functions
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
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LIOW, K.H.; YEO, S. Dynamic Relationships between Price and Net Asset Value for Asian Real Estate Stocks. Int. J. Financial Stud. 2018, 6, 28.

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