亞洲金融風暴與不動產投資風險貼水之研究
Other Title
On the Impacts of Asian Financial Crisis
on Real Estate Risk Premiums
on Real Estate Risk Premiums
Date Issued
2002
Date
2002
Author(s)
DOI
902416H002020
Abstract
Asian economies have suffered severe recession
since the financial crisis started in 1997. The
financial turmoil began with the adverse risk
exposure to real estate loans of Thailand banks.
Fearing that the economy of Thailand would
collapse caused the plunge of the Thailand Baht.
The downfall of Thailand currency caused a
domino effect to the neighboring countries,
including Singapore, Malaysia, Indonesia, Hong
Kong, Taiwan, and South Korea. The crisis in
Asia also had a major impact in the financial
markets all over the world, which caused the New
York stock market to plummet in the late October
1997. It is obvious that almost all investors in
this area have suffered painful losses. Since it is
widely accepted that the one of the root causes of
the crisis is that the banks of this area overly
expose to real estate risk. It is good timing now
to exam whether the real estate investors demand
higher risk premiums after the crisis. This study
tries to investigate whether there is a structural
change of risk/return relationship in real estate
property stocks in countries most affected by the
crisis, such as Thailand, Indonesia, Philippines,
Malaysia, Hong Kong, Singapore, and Japan. In
the meantime, this study will also examine the
same characteristics of non-Asian real estate
property stocks as a contrast. These non-Asian
property stocks include Australia, Belgium, France,
Ireland, Italy, Norway, Portugal, Spain, UK, and
the U.S. The study finds that no significant
changes happen in the systematic risk structures of
these suffered Asian countries, neither from local
perspective nor from international perspective.
The result may reveal that the Asian financial
crisis exerted its impacts not only on the real
estate markets but also on the overall markets.
The systematic relationship between real estate
market and the overall market is not changed.
Subjects
Asian Financial Crisis
Real Estate
Risk Premiums
Risk Premiums
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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