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Purpose– The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013.Design/methodology/approach– First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second, the author appeal to the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the spillover framework is able to combine with recent developments in time series econometrics to provide a comprehensive analysis of the dynamic volatility co-movements regionally and globally. The author also examine whether there are volatility spillover regimes, as well as explore the relationship between the volatility spillover cycles and the correlation spillover cycles.Findings– Results indicate moderate return co-movements and volatility spillover effects within and across the GC region. Cross-market volatility spillovers are bidirectional with the highest spillovers occur during the global financial crisis (GFC) period. Comparatively, the Chinese public property market's volatility is more exogenous and less influenced by other markets. The volatility spillover effects are subject to regime switching with two structural breaks detected for the five sub-groups of markets examined. There is evidence of significant dependence between the volatility spillover cycles across stock and public real estate, due to the presence of unobserved common shocks.Research limitations/implications– Because international investors incorporate into their portfolio allocation not only the long-term price relationship but also the short-term market volatility interaction and return correlation structure, the results of this study can shed more light on the extent to which investors can benefit from regional and international diversification in the long run and short-term within and across the GC securitized property sector, with Asian emerging market and global developed markets of Japan and USA. Although it is beyond the scope of this paper, it would be interesting to examine how the two co-movement measures (volatility spillovers and correlation spillovers) can be combined in optimal covariance forecasting in global investing that includes stock and public real estate markets.Originality/value– This is one of very few papers that comprehensively analyze the dynamic return correlations and conditional volatility spillover effects among the three GC public property markets, as well as with their selected emerging and developed partners over the last decade and during the GFC period, which is the main contribution of the study. The specific contribution is to characterize and measure cross-public real estate market volatility transmission in asset pricing through estimates of several conditional "volatility spillover" indices. In this case, a volatility spillover index is defined as share of total return variability in one public real estate market attributable to volatility surprises in another public real estate market.

PurposeThe purpose of this paper is to investigate and compare the extreme behavior of securitized real estate and stock market returns as well as their value‐at‐risk (VaR) dynamics in international investing. Extreme value theory using the block maxima method is applied to ten securitized real estate and equity market indices representing Asian, European and North American markets.Design/methodology/approachThe paper models the maxima and minima of all return series within the extreme value theory (EVT) framework and derive the VaR estimates. It then compares the VaR estimates derived from the EVT and the normal distribution and investigates the impact of clustered returns on the VaR estimates. Finally, both the conventional standard deviation measure and VaR method are conducted to evaluate and compare the impact of the Asian financial turmoil on the real estate and stock market risk profiles.FindingsEvidence shows that Asian real estate and equity maxima and minima return series are characterized by a fat‐tailed Fréchet distribution. The frequency and severity of extreme Asian real estate returns are greater than their European and North American counterparts. Securitized real estate markets are riskier than the broader stock markets before and during the Asian financial turmoil. In contrast, many stock markets become riskier after the financial crisis with their VaRs higher than the equivalent VaR estimates for the real estate series.Research limitations/implicationsKnowledge about real estate market returns exhibit extreme behavior can help investors and fund managers understand the distribution of real estate market returns better and obtain potentially more accurate real estate return forecasts.Practical implicationsInternational real estate portfolio risk management should include both extreme risks and standard deviations. Accordingly, global investors should be even more cautious in formulating their diversification strategies since gains from diversification can be reduced significantly by the severity of extreme return levels.Originality/valueThe paper characterizes the distribution of extreme returns for a broad spectrum of international securitized real estate markets from three continents. The extreme value investigation is also conducted for broader stock markets corresponding to the individual real estate markets. The July 1997 turmoil that occurred in Asian financial markets provides interesting exploratory opportunities within which this paper estimates and compares the extreme market risk with the conventional standard deviation measure.

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.

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.

Abstract

Analyses the quarterly share price discount/ premium of Singapore property companies in the period 1980‐94. Further investigations suggest an inverse relationship between the size of average valuation discount of property equity and direct property return even in the presence of a "pure" property factor in both markets. Lends further research evidence to the growing belief that property stocks may be regarded as proxy for direct property investments.

Examines property acquisition/disposal decisions of UK retailers
within the context of the financial objectives of the firm. Contrasts
the financial structure of a "net property disinvestor" with
that of a "net property acquirer" using both univariate
tests and logistic regression modelling. Evidence is consistent with the
growing emphasis that real‐estate strategies (which include acquisition
and disposal decisions) should be evaluated at the strategic level of a
non‐property company.

PurposeThe purpose of this paper is to examine the role of Asian real estate companies with regard to their "value‐added" performance and portfolio diversification benefits in Asian mixed‐asset portfolios, as well as in international real estate securities portfolios over 1996‐2005.Design/methodology/approachFirst the risk‐return performance for all 13 Asian as well as the US and UK real estate securities markets is compared. For each country, next the correlation profiles between real estate, common stock, bonds and cash are assessed. The value‐add benefits of Asian real estate securities in an unconstrained and constrained mixed asset portfolio are then assessed in relation to portfolio return, risk and terminal wealth. Finally, the paper explores whether there are benefits derived from international diversification with a universe of Asian real estate securities from the perspectives of the US and UK investors.FindingsIt was found that, whilst there is little evidence of diversification benefits and superior risk‐adjusted performance of Asian real estate companies in Asian mixed‐asset portfolios, diversification into Asian real estate stocks can provide positive portfolio implications for international investors. Thus investing in Asian real estate securities portfolios rather than investing in Asian mixed‐asset portfolios may be seen to be the more effective diversification strategy over this period.Originality/valueThe study has provided some interesting and important insights into the dynamics and performance of Asian real estate securities. With an increased emphasis on international property investment and as the regional upturn becomes more evident, Asian real estate companies potentially provide an important real estate investment opportunity for international property fund mangers.

PurposeAims 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/approachA 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.FindingsProperty 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/valueThe 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.

This study examines the influence of corporate real estate (CRE) on shareholder value using two value‐based measures: economic value added (EVA) and market value added (MVA). We find that CRE has impacted negatively on non‐real estate firms' EVA and MVA in the period 1997‐2001. This happens for the non‐real estate corporations from different industries. Further, the higher the real estate asset intensity, the greater the negative impact on the firms' EVA and MVA. Our results have important implications for the traditional notion that there is a competitive advantage in owning CRE by diversified conglomerates. Specifically, more studies are needed to explore and compare the main reasons and motivations as to why Asian non‐real estate firms are still more involved with real estate activities than their counterparts in Europe and USA even though ownership of CRE appears to destroy shareholders' wealth.

PurposeAims 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/approachThe 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.FindingsThe 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/valueThis 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.

Market critics often cited an apparent lack of relationship between corporate performance and stock prices as the main reason for a poor prediction of stock prices. This study attempts to examine whether prices of 15 sample listed property stocks in Singapore reflect their corporate fundamental values over a ten‐year period from June 1989 to June 1999. Proxies for corporate fundamental values used in our study are earnings per share (EPS), dividends per share (DPS) and net asset values (NAV) of the individual property stocks listed in Singapore. From the Johansen's cointegration test results, there were long‐run convergence relationships of stock prices with their fundamental values for nine of the 15 sample stocks, which implied some forms of mean reversion process of stock prices towards their fundamental values. For the nine sampled cointegrating stocks, NAV and EPS, particularly in the second‐lag orders, were the most significant fundamental values in explaining the short‐run dynamics of the stock price changes. The error correction mechanism (ECM) was also found to be statistically significant in the long‐run convergence relationships with four sample stock prices. DPSs and lagged changes in stock prices, in comparison, were statistically significant, but in only two of the sample vector ECM relationships. The results imply that institutional investors should pay more attention to the underlying performance of stocks, in particularly the EPS and NAV, in their stock selection process.