Search results

1 – 10 of over 28000
To view the access options for this content please click here
Article
Publication date: 8 January 2020

Thi Kim Nguyen and Muhammad Najib Razali

As an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real…

Abstract

Purpose

As an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real estate investment trusts (REITs) being regulated to become a property investment vehicle in 2007. This sees macro-environment investment in the Indonesian property market taking off to a higher level regionally. In the background, Indonesian listed PCs maintain as one of the major investment vehicles for local and international investors. It has also been the subject of investment for REITs and property investment funds in Indonesia. The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed.

Design/methodology/approach

Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs.

Findings

Listed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented.

Research limitations/implications

The use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets.

Practical implications

Listed PCs have been under increasingly adjusted and positively adapted regulations from the Indonesian Government over the post-GFC period. Therefore, in order to attract interest from international investors in property investment in Indonesia, listed PCs need stronger and more efficiently adapted regulations to a competitive level of respective regulations in the region and globally. Notwithstanding the poor performance in the transitional stage, Indonesian listed PCs bring some diversification benefits to local investors who are able to pick the outperformed invested PCs at the right time. Of the on-going concerns, international investors have no restrictions on holding listed PCs in the Indonesian stock market. This provides room for improvement in business performance in listed PCs as a result of regional/global competition and international management being involved. The present study delivers awareness to investors, researchers as well as policymakers on the Indonesian property market.

Originality/value

This paper is the first published to present a country profile of significant property vehicles (commercial property, listed PCs and REITs). It also presents empirical research analysis of the risk-adjusted performance of listed PCs and its dynamic role in a local investors’ perspective across the pre-GFC, GFC, post-GFC periods. Given the significance of listed PCs in Asia, this research highlights more information for opportunities and on-going property investment issues in Indonesia.

Details

Journal of Property Investment & Finance, vol. 38 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 July 2006

Kim Hiang Liow, Muhammad Faishal Ibrahim and Qiong Huang

The purpose of this paper is to provide an analysis of the relationship between expected risk premia on property stocks and some major macroeconomic risk factors as…

Abstract

Purpose

The purpose of this paper is to provide an analysis of the relationship between expected risk premia on property stocks and some major macroeconomic risk factors as reflected in the general business and financial conditions

Design/methodology/approach

Employs a three‐step estimation strategy (principal component analysis, GARCH (1,1) and GMM) to model the macroeconomic risk variables (GDP growth, INDP growth, unexpected inflation, money supply, interest rate and exchange rate) and relate them to the first and second moments on property stock excess returns of four major markets, namely, Singapore, Hong Kong, Japan and the UK. Macroeconomic risk is measured by the conditional volatility of macroeconomic variables.

Findings

The expected risk premia and the conditional volatilities of the risk premia on property stocks are time‐varying and dynamically linked to the conditional volatilities of the macroeconomic risk factors. However there are some disparities in the significance, as well as direction of impact in the macroeconomic risk factors across the property stock markets. Consequently there are opportunities for risk diversification in international property stock markets.

Originality/value

Results help international investors and portfolio managers deepen their understanding of the risk‐return relationship, pricing of macroeconomic risk as well as diversification implications in major Asia‐Pacific and UK property stock markets. Additionally, policy makers may play a role in influencing the expected risk premia and volatility on property stock markets through the use of macroeconomic policy.

Details

Journal of Property Investment & Finance, vol. 24 no. 4
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 April 2001

Kim Hiang Liow

Examines the investment performance of Singapore real estate and property stocks over the past 25 years. Evaluations using coefficient of variation (CV), Sharpe index (SI…

Abstract

Examines the investment performance of Singapore real estate and property stocks over the past 25 years. Evaluations using coefficient of variation (CV), Sharpe index (SI) and time‐varying Jensen abnormal return index (JI) suggest that real estate outperformed property stocks on a risk‐adjusted basis. Results also indicate that risk‐adjusted investment performance for residential properties remained superior to performance for other real estate types and property stocks. Further analysis using time‐varying JI reveals that the excess return performance of property stocks could differ significantly from that of direct properties, and performance of property stock led real estate market performance. Finally, the performance implications arising from the study are evaluated.

Details

Journal of Property Investment & Finance, vol. 19 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 8 November 2011

Abel Olaleye

The purpose of this paper is to examine the performance of asset classes in the South African investment market and assess the diversification benefits from adding listed…

Abstract

Purpose

The purpose of this paper is to examine the performance of asset classes in the South African investment market and assess the diversification benefits from adding listed property stock into domestic mixed‐asset portfolios.

Design/methodology/approach

The data sets comprise of quarterly returns on property listed stock, all share, all bond and 90 day Treasury bill for the period of January, 1999 to December, 2009. Return‐risk performance of all the assets were compared using mean return, standard deviation, mean standard deviation ratio, coefficient of variation and correlation coefficient. To determine return enhancement and risk reduction benefits of property listed stock in mixed‐asset portfolios, 22 naïve portfolios (17 with property stock and five without) were constructed and, their return and risk levels, obtained using Markowitz's mean variance analysis, were compared.

Findings

The results showed that there was evidence of superior return and risk‐adjusted performance of real estate stock over other assets. Also, adding property stock into mixed‐asset portfolios was found to have produced enhanced and statistically significant risk‐adjusted returns but minimal and insignificant risk reduction benefits. These results however are conditional on the percentage allocation to real estate and the asset class replaced.

Research limitations/implications

The study has implication for investors. They could consider the inclusion of listed property stock in their portfolios with the expectation of a significant risk‐adjusted return enhancement but marginal risk reduction.

Originality/value

The paper is one of the few attempts at assessing the diversification benefits of listed property stock, especially from the perspective of African emerging market.

Details

Journal of Financial Management of Property and Construction, vol. 16 no. 3
Type: Research Article
ISSN: 1366-4387

Keywords

To view the access options for this content please click here
Article
Publication date: 22 June 2012

Eddie C.M. Hui and Ivan M.H. Ng

This paper aims to test the short‐ and long‐run interrelationships between Hong Kong's residential property market and stock market, as well as market fundamentals and…

Abstract

Purpose

This paper aims to test the short‐ and long‐run interrelationships between Hong Kong's residential property market and stock market, as well as market fundamentals and China‐related factors, between 1990 and 2006.

Design/methodology/approach

The authors observed changes in the relationship between property prices and stock indexes by using Granger causality test, variance decomposition and CUSUM test. In contrast to some other studies, they have, at the same time, identified the break point(s) and variation of relation.

Findings

The findings reveal that the correlation between residential property price and stock index had become weaker over time, even though the trend of residential property price is similar to that of stock index during the sample period. Under such circumstances, it is more likely for investors to reap more benefits through portfolio diversifications.

Research limitations/implications

The credit price effect from the property market to the stock market, as observed between 1990 and 1994, has been replaced by a snowball effect within each of these two markets. In addition, stocks have become a hedge against inflation in the short‐run, while both stocks and real estate investments are utilized as such in the long‐run after 1995. Lastly, it appears that there are signs of interdependence between Hong Kong's stock market and the Chinese economy, whereas contagion might occur between China's economy and Hong Kong's property market.

Originality/value

The paper proffers some insights with regard to both real estate and stocks as investment options, and how closer integration between two regions (or nations) shape the interactions between various markets between them.

Details

Property Management, vol. 30 no. 3
Type: Research Article
ISSN: 0263-7472

Keywords

To view the access options for this content please click here
Article
Publication date: 7 March 2008

Rhea Tingyu Zhou and Rose Neng Lai

Motivated by the unique characteristics and profit generating nature of real estate investments, this paper aims to study if investors herd differently in corresponding…

Abstract

Purpose

Motivated by the unique characteristics and profit generating nature of real estate investments, this paper aims to study if investors herd differently in corresponding securities versus other non‐real estate securities.

Design/methodology/approach

The authors choose the Hong Kong stock market to form the sample to distinguish the herd behavior of the property stocks, if any, from stocks of other categories. The authors separate stocks into two portfolios, those made up of property stocks versus non‐property stocks, because it is widely known that property stocks have high market volatility and domination of institutional investors.

Findings

The authors find a persistent and significant smaller herding in property stocks. The result of a reverse U‐shape intraday herding pattern also provides a possible clue to previous studies of a U‐shape in intraday volatility pattern. The authors document that recent announcements of an increase in the short‐term interest rate have an additive effect on the herd behavior of market participants in trading property stocks. Lastly, on the conjecture that herding will further exemplify price instability arising from positive feedback trading while investors engage in positive feedback trading in both property stocks and non‐property stocks, such activity in the latter group lasts for a longer period. Furthermore, price instability of property stocks disappears at a faster pace than the counterpart.

Originality/value

This study shows that property stocks are more efficiently traded by investors than other types of stocks, at least in the Hong Kong stock market.

Details

Journal of Property Investment & Finance, vol. 26 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 August 2001

Tien Foo Sing and Kanak Patel

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…

Abstract

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.

Details

Journal of Property Investment & Finance, vol. 19 no. 4
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 May 2006

Kim Hiang Liow and Qiong Huang

Aims to investigate whether the level and volatility of interest rates affect the excess returns of major Asian listed property markets within a time‐varying risk framework.

Abstract

Purpose

Aims to investigate whether the level and volatility of interest rates affect the excess returns of major Asian listed property markets within a time‐varying risk framework.

Design/methodology/approach

A three‐factor model is employed with excess return volatility, interest rate level and interest rate volatility as its factors. The generalized autoregressive conditionally heteroskedasticity in the mean (GARCH‐M) analyzes are undertaken on monthly excess returns of property stock indexes for the period 1987‐2003.

Findings

Property stocks are generally sensitive to changes in the long‐term and short‐term interest rates and to a lesser extent, their volatility. Moreover, there are disparities in the magnitude as well as direction of sensitivities in interest rate level and volatility across the listed property markets and under different market conditions. Overall, results indicate changes in the ARCH parameter, risk premia, volatility persistence and interest rate level and volatility effects before and after the 1997 Asian financial crisis. However, these noted changes are not uniform and depend on the individual listed property markets.

Originality/value

The findings enhance investors' understanding in financial asset pricing and complement existing evidence in international real estate. With the increasing significance of property stocks as real estate investment vehicles for international investors to gain property exposure in Asia and internationally, the paper is timely and provides the basis for more advanced research in international real estate investment strategies and capital asset pricing.

Details

Journal of Property Investment & Finance, vol. 24 no. 3
Type: Research Article
ISSN: 1463-578X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 June 1997

Kim Hiang Liow

Investigates the investment performance of listed Singapore propertycompanies over the past 21 years. Risk‐adjusted performance for the companies remained inferior to stock

Abstract

Investigates the investment performance of listed Singapore property companies over the past 21 years. Risk‐adjusted performance for the companies remained inferior to stock market performance. There is some evidence that the companies’ investment performance was not consistent over time. Also finds that property companies’ performance is tied to the stock and property markets. Finally, property stocks failed to provide hedges against observed, expected and unanticipated inflation.

Details

Journal of Property Finance, vol. 8 no. 2
Type: Research Article
ISSN: 0958-868X

Keywords

To view the access options for this content please click here
Article
Publication date: 1 February 2005

Kim Hiang Liow, Joseph Ooi and Yantao Gong

Aims to investigate the long‐run and short‐term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European…

Abstract

Purpose

Aims to investigate the long‐run and short‐term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European property stock markets of UK, France, Germany and Italy. Additionally, aims to examine the relationships between equally‐weighted Asian and European regional property stock indices.

Design/methodology/approach

The long‐term analysis is undertaken using Johansen multivariate cointegration approach. The degree of short‐term dependence is investigated with an extended EGARCH model for evidence of mean and volatility spillovers across the property stock markets.

Findings

The combined findings of minimal cointegration, weak mean transmission and lack of significant evidence of cross‐volatility spillovers among the Asian and European property stock markets imply that investors would benefit from diversifying property stock portfolios internationally in Asia and Europe in the short‐ and long‐run.

Originality/value

This study contributes significantly to the empirical literature on capital asset pricing and on the risk‐return performance of international real estate. In particular, the findings from the study will be useful for European investors to understand better the potential portfolio implications of investing in Asian real estate.

Details

Journal of Property Investment & Finance, vol. 23 no. 1
Type: Research Article
ISSN: 1463-578X

Keywords

1 – 10 of over 28000