TY  - JOUR
AB  - Analyses the diversification effects of the portfolio holdings of ten selected listed property investment companies on the co‐movement of the stock prices for an 11‐year period from 1983 to 1994. The long‐term common trends in the sample securitized property companies are tested using the bivariate and the Johansen’s multivariate cointegration methodologies. The empirical evidence does not reject the hypothesis that prediction of the price variation of one stock based on the change in the price of another comparable stock is possible in the long term. Also, the price convergence process was not dependent on whether two companies are practising the same diversification and/or specialisation policies. However, there is evidence that companies with large portfolio holdings can influence the stock prices of property companies with smaller portfolio holdings. This implies that arbitraging the small stocks by reading the price movement of the large firms could give possible abnormal returns to the investor.
VL  - 19
IS  - 4
SN  - 1463-578X
DO  - 10.1108/EUM0000000005792
UR  - https://doi.org/10.1108/EUM0000000005792
AU  - Foo Sing Tien
AU  - Patel Kanak
PY  - 2001
Y1  - 2001/01/01
TI  - Effects of portfolio diversification on property investment company stock prices: 1983‐1994
T2  - Journal of Property Investment & Finance
PB  - MCB UP Ltd
SP  - 390
EP  - 411
Y2  - 2024/04/25
ER  -