Price discovery in the Hong Kong real estate market

Journal of Property Research

Volumn 18, Issue 3, 2001, Pages 187-216

  Chau, K W ^a   MacGregor, Bryan D ^b   Schwann, Gregory M ^c  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF ABERDEEN   (United Kingdom)

^c UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Appraisal smoothing; Arbitrage; Direct and indirect real estate; Hong Kong; Price discovery; Pricing theory

Indexed keywords

CAPITAL MARKET; HOUSING MARKET; PRICE DYNAMICS; PROPERTY MARKET;

CHINA;

EID: 0035560841     PISSN: 09599916     EISSN: None     Source Type: Journal    
DOI: 10.1080/09599910110060064     Document Type: Article

References (61)

1. Unsmoothing British valuation-based returns without assuming an efficient market
2. Price discovery in American and British property markets
3. On the predictive power of interest rates and interest rate spreads
4. Arbitrage pricing theory and utility stock returns
5. Property portfolio allocation: A multi-factor model
6. Real estate investment funds: Performance and portfolio considerations
7. Understanding risk and return
8. Predictable stock returns in the United States and Japan: A study of long-term capital market integration
9. Risk and return on real estate: Evidence from equity REITs
10. Read estate and arbitrage pricing theory: Microvariables vs derived factors
11. Unsmoothing valuation based indices using multiple regimes
12. The term structure and real activity in Canada
13. Property shares, appraisals and the stock market: An international perspective
14. Term structure as a predictor of real economic activity
15. Multi-factor explanations of asset pricing anomalies
16. The variation of economic risk premiums
17. Sources of risk and expected returns in global equity markets
18. Real estate: The whole story
19. Value indices of commercial real estate: A comparison of index construction methods
20. Smoothing in appraisal based returns
21. Estimating market values from appraised values without assuming an efficient market
22. Equity real estate investment trusts and real estate returns
23. Measuring real estate returns: The hedged REIT index
24. What does the stock market tell us about real estate returns?
25. Risk and return in real estate: Evidence from a real estate stock index
26. Real estate risk and return expectations: Recent survey results
27. Diversification categories in investment real estate
28. Forecasts of economic growth from the bond and stock markets
29. The term structure and world economic growth
30. Portfolio diversification and returns benefits: Common stocks vs Real Estate Investment Trusts (REITs)
31. The predicitability of REIT returns and market segmentation
32. The predictability of returns on equity REITs and their co-movement with other assets
33. The predictability of international real estate markets, exchange rate risks and diversification consequences
34. The integration of the real estate market and the stock market: Some preliminary evidence
35. The allocation to property in the multi-asset portfolio: The evidence and theory revisited
36. A comparison of the recent performance of publicly traded real property portfolios and common stock
37. Commercial property prices and valuations: Analysing the correspondence
38. The long-term inflation-hedging characteristics of UK commercial property
39. The predictability of real estate returns and market timing
40. Is there a real estate factor premium?
41. An intertemporal capital asset pricing model
42. Historic returns and institutional real estate portfolios
43. Do REIT returns measure real estate returns?
44. Return properties of equity REITs, common stocks, and commercial real estate: A comparison
45. Retail stocks, retail REITs and retail real estate
46. Linkages between direct and indirect property performance in Hong Kong
47. Improved risk estimation using apraisal-smoothed real estate returns
48. Structural and vector autoregressive approaches to modelling real estate and property stock prices in Singapore
49. Singapore real estate and property stocks: A cointegration test
50. The arbitrage theory of capital asset pricing
51. Risk and return in real estate
52. Real estate risk and the business cycle: Evidence from security markets
53. An index of the UK commercial property market
54. The substitutability of real estate assets
55. Risk and the performance of real estate investment trusts: A multiple index approach