Download e-book for iPad: Asset Pricing by Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao

By Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao

ISBN-10: 9810245637

ISBN-13: 9789810245634

Genuine property finance is a fast-developing zone the place most sensible caliber study is in nice call for. within the US, the true property marketplace is worthy approximately US$4 trillion, and the REITs industry approximately US$200 billion; tens of millions of genuine property execs are operating in this region. The industry in a foreign country can be significantly better, particularly in Asia.

Given the swiftly growing to be actual property securities undefined, this e-book fills a tremendous hole in present genuine property learn and instructing. it really is a fantastic reference for funding execs as good as senior MBA and PhD scholars.

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MEI and CROCKER H. LIU* Associate Professors of Finance, Department of Finance, Stern School of Business, New York University, New York, NY 10012 Recent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior performance over a buy-and-hold strategy. We find that the level of predictability associated with real estate leads to moderate success in market timing, although this is not necessarily so for the other asset classes examined in general.

75 77 79 81 83 85 87 Time period: January 1972-April 1989 Fig. 4. Dividend yield and cap rates. i . . t . 89 Predictability of Returns on Equity REITs and their Co-movement 41 Table 3. T h e figure plots the unrestricted and restricted fitted values of Et(fiit+i) for E R E I T s using a solid line and a dotted line, respectively. Figure 3 shows t h a t the expected excess returns estimated under the rank restriction closely resemble those estimated without the restriction. The figure also shows t h a t the "single-factor", latentvariable model provides a fairly good fit of the d a t a and results in Table 3.

Under such normalization, we see that small cap stocks are more sensitive than EREITs to pervasive forces that affect value-weighted stocks, whereas EREITs appear to be a better hedge instrument than small stocks against systematic shocks that affect bond excess returns. From this perspective, it is striking that EREITs are actually less similar to bonds than are small cap stocks. The rank restriction test suggests that the "two-factor" model is not rejected by data. 6 Summary and Conclusions In this study we analyze the predictability of expected returns on EREITs, using a multi-factor model with time-varying risk premiums that decompose excess asset returns into two parts: expected excess returns and unexpected excess returns.

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Asset Pricing by Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao

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