Download or read book Co Movements and Systematic Risk of Asian Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US market, from January 12, 1995 through Jun 23, 2016. The empirical results indicate that both the co-movement relationship and sector's systematic risk are time-varying and heterogeneous at different scales. We find that diversification opportunities among the real estate markets are diminishing during the two major crises, as scale increases. Moreover, the systematic risk (beta) coefficients of the real estate markets increase during the global financial crisis period and become more stable at lower frequencies. Finally, local stock market returns provide a better proxy of market portfolio for the domestic real estate markets than global stock returns. Our results highlight the importance of considering both time and scale-varying features in co-movement relationship and systematic risk assessment in Asian securitized real estate markets.

Download or read book Real estate securitization and corporate strategy From bricks to bucks written by Dirk Brounen and published by Rozenberg Publishers. This book was released on 2003 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Wavelet Based Study of Systematic Risk written by Kim Hiang Liow and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the dynamics of real estate local and global betas using a novel approach - wavelet analysis on nine Asia-Pacific and the US public real estate markets from January 1995 to June 2016. Specifically, Wavelets are localized in both time and scale, and can be used to filter data up into different frequency components. We appeal to the continuous wavelet transform to estimate the two real estate betas across the usual three investment horizons (short-run, medium-term and long-run), as well analyze their dynamic causality relations in asset pricing from the time-frequency perspective. The main empirical insight is that both real estate local beta and real estate global beta coefficients have a time-scale tendency in sample real estate markets. Their joint market risk increases in the long-run at both the local and global levels. The causal relationship between the real estate local/global betas of the US and Asian real estate markets is the strongest at longer time horizons. Moreover, there is non-linear causal relationship between real estate global beta and real estate local beta in all three investment horizons, with a strong feedback relationship exists between the two real estate beta measures in the medium-term for 80% of the sample real estate markets. A better understanding regarding the implications for real estate capital market securitization and market integration at the local and international levels has become important because international financial markets have become increasingly interdependent with continuing liberalization of cross-border capital flows.

Download or read book My Memoirs in God We Do Best written by Kim Hin / David Ho and published by Partridge Publishing Singapore. This book was released on 2021-08-26 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book concludes with my life achievements, then discusses my expanded work experience, my published articles, my published books and citations of my articles.

Download or read book An Asian Direct and Indirect Real Estate Investment Analysis written by Kim Hin David HO and published by Partridge Publishing Singapore. This book was released on 2021-05-04 with total page 858 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is dedicated to real estate scholastic work, in advancing the greater understanding of real estate investment analysis. This is because there has been limited research in bringing out clearly the uncertainty or risk, which is quantifiable uncertainty in real estate market analysis. Even real estate market research, which is carried out as an industry practice among private real estate researches, is no exception. Another reason is that it has been widely accepted that while the financial revolution has substantially changed many sectors of the financial industry, it has made little impact on real estate development and investment practice as Ill as scholastic work. Furthermore, while it is readily acknowledged that despite its huge share in the world Ialth, real estate investment discipline and research is on the whole still a poorly researched subject area. As a result, the industry tends to be dominated by traditional real estate analysts with little understanding of real estate market uncertainty and capital markets. These commentators are widely regarded to spend too much time worrying about local space supply and demand conditions, while totally losing sight of the everchanging real estate market and capital market conditions. The theme of this book is real estate investment analysis of direct and indirect real, which in turn can be appropriately managed under economic theory and the theoretical conceptions of real estate finance, provided the uncertainty is quantifiable. The book deploys case studies involving Singapore and Asia. This Black over White background viii framework enables real estate market analysis to attempt what defines the Asian direct and indirect real estate sectors; what is being measured; how it behaves (in terms of price and non-price factors); how it is structured and how it effectively achieves the objectives of sustainable total returns and manageable real estate market uncertainty. Managing real estate market uncertainty optimally is achieved at the portfolio level through real estate asset allocation. This is important because the real estate portfolio is able to virtually eliminate the unique (i.e. specific) uncertainties among the various Asian real estate sectors; thus retaining within the portfolio only the systemic (i.e. market-wide) uncertainty. Apart from real estate asset allocation, the alternative and modern approach to risk management at the portfolio level, is the value-at-risk (VaR) approach. Another modern and important alternative to coping with uncertainty is real option analysis and pricing that help to better define real estate market uncertainty in extent and time. Real option analysis and pricing also represent uncertainty via a decision tree and the risk-neutral probability conception, in order to comprehend how uncertainty impacts on the value of real estate investment decisions. The pricing of uncertainty is based on the risk-free hedge security conception. These are best examined at the micro level of the investment in a real estate development opportunity on vacant land. Nevertheless, the real estate sectors in Singapore and Asia offer promising prospects since the Asian currency crisis of 1997. It is now timely to take stock and make an assessment of how the sectors would pan out for the future, Ill into at least rest the next century. I are very pleased to present our thinking and research in international real estate with particular emphasis on Asia. The region’s vast potential for real estate is itself a large incentive for international real estate research and education that has inspired me to document the significant work I have done over the years. Black over White background ix I wish all readers a pleasurable reading of this book, and I thank you sincerely for your support without which the publication of this book would be made all the more difficult. Dr HO, Kim Hin / David Honorary Professor (University of Hertfordshire, UK) (International Real Estate & Public Policy) March 2021.

Download or read book Real Estate Return Volatilty and Systematic Risk written by Kim Hiang Liow and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study empirically examines the dynamics of conditional returns, volatility and systematic risk in ten developing and developed real estate markets and two world market indexes (i.e. world real estate and world stock). We find clustering, predictability, strong persistence and asymmetry in country-specific and global market conditional volatility. Moreover, developing real estate markets display higher conditional volatility and persistence than developed markets. The world real estate market volatility has a statistically significant positive impact on time-varying real estate market betas for developing real estate markets of Asia-Pacific, Hong Kong, Singapore and Malaysia, and a statistically significant negative impact on systematic risk for mature real estate markets of Europe and the UK. Additionally, the extra country-specific market volatility and global market volatility during the Asian financial crisis period seem to impose a larger size influence than the volatility during total period in some markets. Based on comparisons of in-sample forecast errors, our findings appear to favor time-varying real estate betas relative to a world real estate index over a world stock index. Our findings have significant implications for understanding real estate market integration and global capital markets.

Download or read book Is There Volatility Convergence in Asia Pacific Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over the past 15 years, 1995-2009, using an econometric model that incorporates common volatility effects across the sample markets. The empirical results indicate the presence of at least one common variance component, and thus partial volatility convergence, among the sample Asia real estate securities markets. During the global financial crisis period, some real estate securities markets are co-integrated in both their first and second moments and demonstrate partial price and volatility convergence. Our analysis that focuses in capturing the common roots in the second moment whilst accounting for time-varying variance has important implications for international real estate portfolio investment.

Download or read book Mortgage backed Securities Markets in Asia written by S. Ghon Rhee and published by . This book was released on 1999 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Versatility of the Real Estate Asset Class the Singapore Experience written by Kim Hin David Ho and published by Partridge Publishing Singapore. This book was released on 2021-02-22 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 takes a close look at two types of heterogeneous investors (momentum and disposition) to form a unique difference model, to interpret housing price dynamics. Three parameters are crucial, namely, auto-correlation, the rate of mean reversion and the contemporaneous adjustment towards long-term equilibrium price. The key implication is that the 2006 boom of the Singapore private housing market does not offer as large a magnitude as that from the price gain in the 1990's boom-and-recovery over the long-term. Singapore's private housing market is low risk, offering stable returns owing to virtually no divergence even in the speculative 1990s. The best way to invest is to consider the momentum strategy and avoid the herd behaviour for profit sustainability. For policy makers, the Singapore private housing market is over-damped in the long run. Chapter 2 adopts game theory to look at the private residential development oligopolistic market; the determination of residential development sale prices in an uncertain market and under incomplete information of competing developers; the dynamic interaction among developers; the time lags of the development project completion from project start; and the launching of the residential development for sale before completion and the residential development's own capacity constraints. Developers tend to cooperate for long-term benefit, leading to a sales slowdown. Relatively high profits, earnable in the first few periods, provide an allowance to price undercut others, to sell much faster. First-mover advantage in a new market is evident. As uncertainty rises, prices decrease while price variability increases. Chapter 3 looks at the institutional nature of legal origin and the total returns (TRs), derived from investing in a country's direct real estate, and via the adoption of a multi-factor arbitrage pricing theory (APT) model. The 1st and 4th order autoregressive model is adopted to de-smooth the TRs. De-smoothed data is used in conjunction with 2 macroeconomic variables (real GDP growth rate and interest rate) and 1 real estate risk factor (vacancy rate) to form the multi-factor structural model. A pooled panel analysis is conducted with the law-system dummies, denoting British legal origin and French legal origin, and the factor loadings (i.e. the sensitivity of the risk factor to the TRs). Macroeconomic and real estate risk factors in equilibrium affect the TRs. Vacancy rate commands high and significant risk premium owing to its direct impact on the TRs, relative to GDP growth rate and interest rate. Chapter 4 is concerned with the real estate mezzanine investment (REMI), a new financial instrument for Asia's real estate market, and examines the REMI structure, the measurement and characteristics of its risks and returns via a forward-looking binomial asset tree (BAT) model. Risk neutral pricing probability is adopted. REMI bears more risk than typical commercial bank loans, resulting in higher interest rates than pure equity. Different risk issues focus on two major sources - the financial loan to value (LTV) ratio risk and the real estate and capital markets risk. Chapter 4 fulfils the need to close the gap concerning the REMI structure and performance in the steady state, utilizing reliable, authoritative information and data sources. Lastly, Chapter 5 offers this book's conclusion.

Download or read book Idiosyncratic Risk and Expected Returns written by Wei Liu and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Idiosyncratic Risk and Expected Returns: an Investigation in the Context of Real Estate Investment in China" by Wei, Liu, 刘巍, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: In the asset-pricing framework, idiosyncratic risk is the risk that is independent of systematic risk and peculiar to one specific asset or company, it is left with no role in expected returns according to the classic finance theory since it could be completely diversified away. However, in the case investors holding under-diversified portfolios, previous theoretical studies generally demonstrate a positive relationship between idiosyncratic risk and expected returns. However, negative empirical evidences regarding the idiosyncratic risk-return tradeoff have been reported recently in the stock market of the U.S. and China, as well as in several real estate literatures. To reconcile the conflict, this thesis is dedicated to investigate the role of idiosyncratic risk in the context of real estate investment. In the theoretical exploration, an asset-pricing model with short-sales restrictions in the market and heterogeneous beliefs among investors is established. Specifically, a simplified version with only three risky assets, in which two of them are direct and indirect real estate investments, demonstrates when investors endowed with incomplete information setting and under-diversified holdings, idiosyncratic risk would play an important role in the expected returns in equilibrium. Furthermore, the comparative static analysis reveals a positive cross-sectional relationship between idiosyncratic risk and expected returns. In the empirical study, this thesis employs the Fama and French (1992) three-factor model to estimate monthly idiosyncratic volatilities of the Listed Property Companies (LPCs) in the A-share market of China, based on the daily data from May 1999 to Aug 2011. Specifically, for each LPC in each month, its idiosyncratic risk is computed as the standard deviation of the three-factor model's daily residuals. The estimation outputs show that idiosyncratic volatility dominates the LPCs' overall volatility during the study period, and it is features with a distinct pattern when compared to that of the U.S. REITs: the LPCs' idiosyncratic volatilities are significantly higher and more persistent; they are less irrelevant to the firm's market capitalization and present an evident co-movement with the broad market. Hence, this scenario reveals a special interest to further study on the cross-sectional relationship between the LPCs' idiosyncratic risk and their expected returns. In the cross-sectional test, conditional idiosyncratic volatility forecasted by the EGARCH-GED model is employed as the proxy for expected idiosyncratic risk, as the LPCs' lagged idiosyncratic risk is shown to be not a good estimate. Over the study period, a firm positive cross-sectional relationship between idiosyncratic risk and expected returns is documented, after controlling for various pricing factors such as firm size and book-to-market equity ratio, indicators of liquidity and momentum as well as returns reversal effect. This evidence not only confirms the prediction of previous theoretical studies and the model in this thesis, it also suggests a profitable trading strategy based on the idiosyncratic risk of the LPCs. DOI: 10.5353/th_b5108639 Subjects: Real estate investment - China Real estate investment - Rate of return

Download or read book Foreign Capital Flows and the U S Property Market written by Michael Arthur Goldberg and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Correlation Dynamics and Determinants in International Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime switching. Moreover, international correlations of public property returns could be significantly explained by five real estate variables that include global real estate securities market volatility, co-existence of REIT influence, underlying direct real estate return performance differential, real estate securities volatility differential and real estate securities market size differential after controlling for macroeconomic influence and stock market effect. The importance of the control and real estate variables in explaining the return correlations varies across the economies examined.

Download or read book Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets written by Patrick J. Wilson and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of globalization, and to this extent researchers have considered the issue of international property market interdependence using a variety of statistical procedures. In this paper the question of interdependence across securitized property markets is examined by combining the Inoue (1999) cointegration methodology with the structural time series procedure of Harvey (1989). In the event of commonality of movement across property markets, this approach permits the researcher to isolate and visualize common movement, an operation that may be helpful to a portfolio manager trying to understand cross market activity. The results indicate that there is some unifying force across international property markets and that this unifying force may stem from the United States. The results also suggest that, at least to some extent, shocks to securitized property markets produce a similar response to stock market shocks.

Download or read book Net Asset Value Discounts for Asian Pacific Real Estate Companies written by Kim Hiang Liow and published by . This book was released on 2006 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the time series behavior of real estate company net asset value discount/premium (NAVDISC) in eight Asian-Pacific securitized real estate markets from 1995 to 2003. We postulate that if there is a stable NAVDISC for real estate companies in the long-run, then there should be a long-run cointegrating relation between their stock prices (Ps) and net asset values (NAVs). Employing panel data cointegration econometrics that comprises three approaches; panel unit root test, heterogeneous panel cointegration test and dynamic panel error-correction modeling (ECM), we find that long run NAVDISCs persist in individual Asian-Pacific securitized real estate markets and the regional market. All the NAVDISCs exhibit mean reversion and that the respective disequilibrium errors fluctuate around the mean values. Moreover, NAV is an important factor that statistically explains the price variations in real estate stock prices regardless of their speed of mean-reversion in the NAV discount/premium.

Download or read book An Asian International Real Estate Review written by (Dr) (Professor) Kim Hin David Ho and published by Partridge Publishing Singapore. This book was released on 2021-10-20 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt: Direct real estate market analysis is a rigorous investigative approach for academic research, and for direct real estate investment research in practice. 'An Asian International Real Estate Review' considers the subject in the context of economic theory pertaining to market disequilibria, utilizing data from major cities in Asia as case studies. Such an approach makes it possible to determine what really defines an Asian direct real estate sector. What is being measured? How does it behave (in terms of price and non-price factors)? How is it structured? How effectively does it achieve sustainable total returns? And how does it manage direct real estate market uncertainty? Direct real estate market uncertainty originates from both the demand-side and the supply-side of the market. The market responds to structural macroeconomic and microeconomic factors that in turn are affected by related public policies. Such factors and policies interact to affect Asian direct real estate in unique ways since the Asian currency crisis of 1997. 'An Asian International Real Estate Review' shows that while the details of direct real estate market analysis are different for the various Asian cities (and their direct real estate sectors) owing to their different stages of maturity, underlying principles nevertheless apply. 'An Asian International Real Estate Review' also looks at managing direct real estate market uncertainty at the portfolio level via the analytical techniques of direct real estate asset allocation, direct real estate value-at-risk (VaR), real option analysis and pricing.

Download or read book The Risks of Investing in the Real Estate Markets of the Asian Region written by Stephen J. Lee and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Friday Effect in Asian Securitized Real Estate Returns Comparison Between Asian Countries written by and published by . This book was released on 2015 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: