729
Views
33
CrossRef citations to date
0
Altmetric
Original Articles

Price discovery in the Hong Kong real estate market

Pages 187-216 | Published online: 09 Dec 2010

REFERENCES

  • Barkham, R.J. and Geltner, D.M. (1994) Unsmoothing British valuation-based returns without assuming an efficient market, Journal of Property Research 11, 81-95.
  • Barkham, R.J. and Geltner, D.M. (1995) Price discovery in American and British property markets, Real Estate Economics 23(1), 21-44.
  • Bernanke, B.S. (1990) On the Predictive Power of Interest Rates and Interest Rate Spreads, Working Paper No. 3486, NBER, Cambridge, MA.
  • Box, G. and Jenkins, G. (1976) Time Series Analysis: Forecasting and Control, 2nd edn, Holden-Day, San Francisco.
  • Bower, D.H., Bower, R.S. and Logue, D.E. (1984) Arbitrage pricing theory and utility stock returns, The Journal of Finance 38(3), 711-43.
  • Blundell, G.F. and Ward, C.W.R. (1987) Property portfolio allocation: a multi-factor model, Land Development Studies 4(2), 145-56.
  • Brueggeman, W., Chen, A. and Thibodeau, T. (1984) Real estate investment funds: performance and portfolio considerations, AREUEA Journal 12(3), 333-54.
  • Campbell, J. (1966) Understanding risk and return, Journal of Political Economy 104, 298-345.
  • Campbell, J.Y. and Hamao, Y. (1992) Predictable stock returns in the United States and Japan: a study of long-term capital market integration, Journal of Finance 47(1), 43-69.
  • Chan, K.C., Hendershott, P.M. and Sanders, A.B. (1990) Risk and return on real estate: evidence from equity REITs, Journal of the American Real Estate and Urban Economics Association 18(4), 431-52.
  • Chen, S., Hsieh, C.H. and Jordan, B.D. (1997) Read estate and arbitrage pricing theory: microvariables vs derived factors, Real Estate Economics 25(3), 505-23.
  • Chaplin, R. (1997) Unsmoothing valuation based indices using multiple regimes, Journal of Property Research 14(3), 189-210.
  • Cozier, B. and Tkacz, G. (1994) The Term Structure and Real Activity in Canada, Working Paper 94-3, Bank of Canada, Ottawa.
  • Eichholtz, P. and Hartzell, D. (1996) Property shares, appraisals and the stock market: an international perspective, The Journal of Real Estate Finance and Economics 12(2), 163-79.
  • Estrella, A. and Hardouvelis, G. (1991) Term structure as a predictor of real economic activity, Journal of Finance 46(June), 555-76.
  • Fama, E. (1993) Multifactor Portfolio Efficiency and Multifactor Asset Pricing Models, CRSP Working Paper, University of Chicago, Chicago, II.
  • Fama, E.F. and French, K.R. (1996) Multi-factor explanations of asset pricing anomalies, The Journal of Finance 51(1), 55-84.
  • Ferson, W.E. and Harvey, C.R. (1991) The variation of economic risk premiums, Journal of Political Economy 99(2), 385-415.
  • Ferson, W.E. and Harvey, C.R. (1994) Sources of risk and expected returns in global equity markets. Journal of Banking and Finance 18(4), 775-803.
  • Firstenberg, P.A., Ross, S.A. and Zisler, R.C. (1988) Real estate: the whole story, Journal of Portfolio Management 3, 22-34.
  • Fisher, J.D., Geltner, D. and Webb, B. (1994) Value indices of commercial real estate: a comparison of index construction methods, The Journal of real Estate Finance and Economics 9(2), 137-64.
  • Geltner, D. (1991) Smoothing in appraisal based returns, The Journal of Real Estate Finance and Economics 4(3), 327-45.
  • Geltner, D. (1993) Estimating market values from appraised values without assuming an efficient market, Journal of Real Estate Research 8(3), 325-46.
  • Giliberto, M.S. (1990) Equity real estate investment trusts and real estate returns, The Journal of Real Estate Research 5(2), 259-64.
  • Giliberto, M.S. (1993) Measuring real estate returns: the hedged REIT index, The Journal of Portfolio Management 19(3), 94-9.
  • Gyourko, J. and Keim, D.B. (1992) What does the stock market tell us about real estate returns?, Journal of the American Real Estate and Urban Economics Association 20(3), 457-86.
  • Gyourko, J. and Keim, D.B. (1993) Risk and return in real estate: evidence from a real estate stock index, Financial Analysts Journal Sept/Oct, 39-46.
  • Hartzell, D. and Mengden, A. (1987) Equity Real Estate Investment Trusts -Are They Stocks or Real Estate'! August, Solomon Bros. Inc., New York.
  • Hartzell, D.J. and Webb, J.R. (1988) Real estate risk and return expectations: recent survey results, Journal of Real Estate Research 3(3), 31-37.
  • Hartzell, D.J., Hekman, J. and Miles, M. (1986) Diversification categories in investment real estate, AREUEA Journal 14(2), 230-54.
  • Harvey, C.R. (1989) Forecasts of economic growth from the bond and stock markets, Journal of Financial Economics 22, 305-33.
  • Harvey, C.R. (1991) The terni structure and world economic growth, Journal of Fixed Income 1(June), 7-19.
  • Kuhle, J.L. (1987) Portfolio diversification and returns benefits: common stocks vs Real Estate Investment Trusts (REITs), The Journal of Real Estate Research 2(2), 1-9.
  • Li, Y. and Wang, K. (1995) The predictability of REIT returns and market segmentation, The Journal of Real Estate Research 10(4), 471-82.
  • Ling, D.C. and Naranjo A. (1997) The Integration of Commercial Real Estate Markets and Stock Markets, Working Paper, Department of Finance, Insurance and Real Estate, University of Florida.
  • Liu, C.H. and Mei, J. (1992) The predictability of returns on equity REITs and their co-movement with other assets, Journal of Real Estate Finance and Economics 5, 401-18.
  • Lui, C.H. and Mei, J. (1998) The predictability of international real estate markets, exchange rate risks and diversification consequences, Real Estate Economics 26(1), 3-39.
  • Liu, C.D., Hartzell, D., Greig, W. and Grissom, T. (1990) The integration of the real estate market and the stock market: some preliminary evidence, Journal of Real Estate Finance and Economics 3, 261-82.
  • MacGregor, B.D. and Nanthakumaran, N. (1992) The allocation to property in the multi-asset portfolio: the evidence and theory revisited, Journal of Property Research 9(1), 5-32.
  • Martin, J.D. and Cook, D.O. (1991) A comparison of the recent performance of publicly traded real property portfolios and common stock, Journal of the American Real Estate and Urban Economics (2), 184-212.
  • Matysiak, G. and Wang, P. (1995) Commercial property prices and valuations: analysing the correspondence, Journal of Property Research 12, 181-202.
  • Matysiak, G.A., Hoesli, M., MacGregor, B.D. and Nanthakumaran, N. (1996) The long-term inflation-hedging characteristics of UK commercial property, Journal of Property Finance 7(1), 50-61.
  • Mei, J. and Lui, C.H. (1994) The predictability of real estate returns and market timing, Journal of Real Estate Finance and Economics 8(2), 115-35.
  • Mei, J. and Lee, A. (1994) Is there a real estate factor premium? Journal of Real Estate Finance and Economics 9, 113-26.
  • Merton, R. (1973) An intertemporal capital asset pricing model, Economics 41, 867-87.
  • Miles, M. and McCue, T. (1984) Historic returns and institutional real estate portfolios, AREUEA Journal 10, 184-99.
  • Moss, S.E. and Schneider, H.C. (1996) Do REIT returns measure real estate returns?, Journal of Property Finance 7(2), 58-74.
  • Mueller, G.R. and Laposa, S.P. (1995) Factors affecting public REIT pricing. Working Paper, ABKB/LaSalle Securities Ltd.
  • Myer, F.C.N. and Webb, J.R. (1993) Return properties of equity REITs, common stocks, and commercial real estate: a comparison, The Journal of Real Estate Research 8(1), 87-106.
  • Myer, F.C.N. and Webb, J.R. (1994) Retail stocks, retail REITs and retail real estate, Journal of Real Estate Research 9, 65-84.
  • Newell, G. and Chau, K.W. (1996) Linkages between direct and indirect property performance in Hong Kong, Journal of Property Finance 7(4), 9-29.
  • Newell, G. and MacFarlane, J. (1995) Improved risk estimation using appraisal-smoothed real estate returns, Journal of Real Estate Portfolio Management 1(1), 51-8.
  • Okunev, J. and Wilson, P.J. (1996) Using non-linear tests to examine integration between real estate and stock markets, Paper at ERES, Belfast.
  • Ong, S.E. (1994) Structural and vector autoregressive approaches to modelling real estate and property stock prices in Singapore, Journal of Property Finance 5(4), 4-18.
  • Ong, S.E. (1995) Singapore real estate and property stocks: a cointegration test, Journal of Property Research 12(1), 29-39.
  • Ross, S. (1976) The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-60.
  • Ross, S.A. and Zisler, R.C. (1991) Risk and return in real estate, The Journal of Real Estate Finance and Economics 4, 175-90.
  • Sagalyn, L.B. (1990) Real estate risk and the business cycle: evidence from security markets, The Journal of Real Estate Research 5(2), 203-19.
  • Saunders, A. and Ward, C. (1978) An index of the UK commercial property market, Applied Economics 10, 251-62.
  • Seek, D. (1996) The substitutability of real estate assets, Real Estate Economics 24(1), 75-95.
  • Titman, S. and Warga, A. (1986) Risk and the performance of Real Estate Investment Trusts: a multiple index approach, Journal of the American Real Estate and Urban Economics Association 14(4), 414-31.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.