香港不動產因子風險貼水之研究
Other Title
On the Real Estate Factor Premium in Hong Kong
Date Issued
2001
Date
2001
Author(s)
DOI
892416H002075
Abstract
In this study we analyze the predictability
of expected returns on property stocks, equity
stock portfolios and bond portfolios using a
multi-factor model allowing time varying risk
premiums. In this process, we examine the
resemblance among assets and the existence of
real estate factor in Hong Kong markets.
There are four major findings. First,
expected excess returns of three assets
investigated in this study are quite predictable.
Second, right market timing is important to
equity and property investors since evidences
show that the risk premiums of these two assets
vary substantially over time. Third, property
stocks are closer in similarity with stocks than
bonds. Finally, property stocks have a high
sensitivity toward stock market portfolio. This
indication suggests that in Hong Kong real
estate investments are influenced by market
factor and are not good instruments to help
diversify stock risk.
Subjects
Hong Kong
Real estate factor
risk premium
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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