International Journal of Strategic Property Management
Understanding the spread of asset bubbles is pivotal to the effectiveness of risk management. Thi... more Understanding the spread of asset bubbles is pivotal to the effectiveness of risk management. This study thus estimates housing bubbles and investigates how and to what extent price bubbles spread between the tiers of luxury and mass housing in Hong Kong. The results show that price bubbles spread between housing tiers, the spreading of bubbles is not uni-directional from luxury to mass tiers, and more than 60% of bubbles come from inter-tier spreading. Moreover, bubble shocks from the luxury tier have stronger spreading influences on the movements of bubbles in the mass housing tier than the other way around during the period before the end of the global financial crisis (GFC), whereas the opposite is true for the period after GFC. The findings are important for policy makers attempting to tackle soaring housing bubbles, financial institutions seeking to managing lending risk, and housing investors wanting to time the submarkets.
The Malmquist productivity index (MPI), proposed by Fare et al. (1994) and based on the data enve... more The Malmquist productivity index (MPI), proposed by Fare et al. (1994) and based on the data envelopment analysis (DEA), is commonly used to measure total factor productivity (TFP). Being a linear-programming-based measure and lack of statistical nature, MPI may give incomplete information about TFP and its components and thus, guides incorrect policy and/or managerial implications. This study uses the bootstrapping approach, proposed by Simar and Wilson (1998, 1999) which takes into account the timedependence structure of the data, to generate the appropriate bootstrap samples for analyzing productivity changes of Taiwan’s International Tourist Hotels (ITHs). The dataset, obtained from the annual Operating Report of International Tourist Hotel in Taiwan published by the Taiwan Tourism Bureau during 2010-2015, consists of 67 ITHs and 402 observations. Empirical results indicate that it is apparent to overstating the situation of changes in efficiency of Taiwan’s ITHs, and even worse...
International Journal of Strategic Property Management, 2018
This study is the first to address the exposure of banking industry stock returns to both the com... more This study is the first to address the exposure of banking industry stock returns to both the commercial and residential real estate markets. The empirical findings show that U.S. banking industry stock returns are significantly sensitive to real estate market returns after controlling for stock market, interest rate, and exchange rate effects. Moreover, the commercial and residential real estate markets have very different effects on banking industry stock returns. Furthermore, the effects on banking industry stock returns are state-dependent. The findings have valuable implications for investors, managers and regulatory authorities.
Recommended Citation Kuo, Shew-Huei, "An examination of the evolving relationship between interes... more Recommended Citation Kuo, Shew-Huei, "An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using asymmetric dynamics in yield spreads " (2000). Retrospective Theses and Dissertations. 13911. https://lib.dr.iastate.edu/rtd/13911 INFORMATION TO USERS This manuscript has t)een reproduced from the microfilm master. UMI films the text directly from the original or copy sut)mitted. Thus, some thesis and dissertation copies are in typewriter face, while others may be from any type of computer printer. The quality of this reproduction is dependent upon the quality of the copy submitted. Broken or indistinct print, colored or poor quality illustrations and photographs, print bleedthrough, substandard margins, and improper alignment can adversely affect reproduction. In the unlikely event that the author did not send UMI a complete manuscript and there are missing pages, these will be noted. Also, if unauthorized copyright material had to be removed, a note will indicate the deletkm. Oversize materials (e.g., maps, drawings, charts) are reproduced by sectioning the original, beginning at the upper left-hand comer and continuing from left to right in equal sectrons with small overiaps. Photographs included in the original manuscript have been reproduced xerographicaliy in this copy. Higher quality 6' x 9' black and white photographic prints are available for any photographs or illustratk>ns appearing in this copy for an additional charge. Contact UMI directly to order. Bell & Howell Information and Learning 300 North Zeeb Road, Ann Arbor. Ml 48106-1346 USA umT 800-521-0600 An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using asymmetric dynamics in yield spreads
International Journal of Strategic Property Management, 2016
This study examines the price discovery function and volatility spillovers in australian real est... more This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.
Abstract This study examines the influence of real estate investment trust (REIT) initial public ... more Abstract This study examines the influence of real estate investment trust (REIT) initial public offering (IPO) announcements on the returns of non-REIT real estate stocks in Taiwan. In contrast to the Malaysian study of Sing, Ho, and Mak (2002), we find that Taiwan REIT IPOs have favorable effects on these stocks. Moreover, investors can obtain higher abnormal returns from investing in underpriced non-REIT real estate stocks following Taiwan REIT IPO announcements. (ProQuest: ... denotes formulae omitted.) Global real estate securities investing has become increasingly popular in recent years (Bigman and Chiu, 2005; Hughes, 2007), as evidenced by the growth of the number of global real estate funds. At the end of the last decade, only 10 such funds existed; by the end of 2003 that number had doubled to 20, and it more than doubled again to 41 in 2004 (Hughes and Arissen, 2006). As the momentum continued to increase, the number of global funds increased to 68 in 2005 and to 93 in 2006 (National Association of Real Estate Investment Trusts, 2007). To the best of our knowledge, there are 155 global real estate mutual funds as of February 28, 2010 (Yahoo! Finance, 2010).1 To obtain the benefits of global diversification without sacrificing liquidity, global real estate mutual funds invest in both real estate investment trusts (REITs) and non-REIT public real estate stocks. Because REITs and non-REIT real estate stocks have a common link to the private real estate market (Giliberto, 1990; Chen and Guo, 2004; Lee, Lee, and Chiang, 2008) and both are traded in the stock market, there may be an interaction between these two categories of stocks such that developments in the REIT market may attract the interest of investors in non-REIT real estate stocks and thereby influence the market for those stocks. If the market believes that REIT initial public offerings (IPOs) indicate a likelihood of prosperity for the real estate market, then the IPOs can signal prosperity for the non-REIT real estate stocks. In contrast, if the market believes that the timing of REIT IPOs coincides with the peaks of the real estate market and thus indicates an over-valuation of real estate values, or that REIT IPOs may trigger a transfer of funds away from the non-REIT stocks, then the IPOs will have a negative effect on these stocks. Understanding how REIT IPOs influence the returns of non-REIT real estate stocks can help real estate securities investors, such as global real estate securities funds, to make better investment decisions. We therefore examine this issue with the hope of offering some implications for the increasingly popular practice of global real estate securities investing. As far as we know, this subject has not drawn much attention, except for the Malaysian study of Sing, Ho, and Mak (2002). The objectives of our study are to examine the return reactions of non-REIT real estate stocks to REIT IPOs and their determinants in Taiwan. By so doing, this study offers contributions in the following three aspects. First, we extend the scant existing studies to another important emerging market. Taiwan is an important emerging real estate securities market in the Far East. To the best of our knowledge, the existing literature contains neither studies on market signals associated with Taiwan REIT IPOs nor literature describing the impact of REITs on non-REIT real estate stocks in Taiwan. At the end of May 2007, in terms of market capitalization, the Taiwan REIT (non-REIT real estate stock) market accounted for about 37.29% (30.70%) of the Far East Emerging REIT (non-REIT real estate stocks) market (Moss, 2007).2 The importance of the Taiwan market is also reflected in the inclusion of Taiwan in the Dow Jones global real estate indices and the recently launched FTSE EPRA/NAREIT emerging markets indices. The empirical results of this study therefore can be of help to global real estate securities investors who are interested in real estate securities in Taiwan. …
This study investigates the intra-industry effects of cash dividend announcements for U.S. real e... more This study investigates the intra-industry effects of cash dividend announcements for U.S. real estate investment trusts (REITs). That is, based on the market model framework, this study examines whether a change in an announcing REIT's dividends has information externality on its peers/rivals. Our results suggest that REIT dividend announcements have contagion effects. In addition, consistent with the existing literature, these contagion effects are found to be asymmetric and more prevalent for dividend-decreasing events.
Journal of the Japanese and International Economies, 2004
ABSTRACT Thesis (Ph. D.)--University of Washington, 1982 This dissertation examines the Japanese ... more ABSTRACT Thesis (Ph. D.)--University of Washington, 1982 This dissertation examines the Japanese term structure of interest rates. The first chapter is a study of the theory and practice of term structure measurement. Particular attention is paid to the applications of spline theory to the measurement problem. A new method of measurement based upon cyclical theories of the term structure is also put forward. The second chapter is a brief review of debt management policies in Japan. The object of this chapter is the construction of a comprehensive set of data pertaining to the maturity structure of fixed-term debt outstanding in Japan's bond markets. The third chapter contains tests of implications for three groups of theories of the interest rate term structure. (i) The pure expectations theories of the term structure are rejected upon the basis of tests of their variance bound implications. (ii) Tests for links between debt management policies and the term structure use the maturity structure data developed in Chapter II. Several tests for such links are rejected. (iii) A number of hypotheses which connect inflation and inflation uncertainty to the term structure are supported by the data. It was also found the variability of holding period yields across terms of maturity can be partially described in an autoregressive conditional heteroscedastic (ARCH) framework.
... Yunlin University of Science and Technology Ming-Te Lee Ming Chuan University Chia-Wei Lin Na... more ... Yunlin University of Science and Technology Ming-Te Lee Ming Chuan University Chia-Wei Lin National ... This study, like the study of Liow and Sim (2006), employs construction stocks as non-REIT ... a dummy variable and equals 1 if the REIT IPO is listed in TSE; otherwise, EXCH ...
International Journal of Strategic Property Management
Understanding the spread of asset bubbles is pivotal to the effectiveness of risk management. Thi... more Understanding the spread of asset bubbles is pivotal to the effectiveness of risk management. This study thus estimates housing bubbles and investigates how and to what extent price bubbles spread between the tiers of luxury and mass housing in Hong Kong. The results show that price bubbles spread between housing tiers, the spreading of bubbles is not uni-directional from luxury to mass tiers, and more than 60% of bubbles come from inter-tier spreading. Moreover, bubble shocks from the luxury tier have stronger spreading influences on the movements of bubbles in the mass housing tier than the other way around during the period before the end of the global financial crisis (GFC), whereas the opposite is true for the period after GFC. The findings are important for policy makers attempting to tackle soaring housing bubbles, financial institutions seeking to managing lending risk, and housing investors wanting to time the submarkets.
The Malmquist productivity index (MPI), proposed by Fare et al. (1994) and based on the data enve... more The Malmquist productivity index (MPI), proposed by Fare et al. (1994) and based on the data envelopment analysis (DEA), is commonly used to measure total factor productivity (TFP). Being a linear-programming-based measure and lack of statistical nature, MPI may give incomplete information about TFP and its components and thus, guides incorrect policy and/or managerial implications. This study uses the bootstrapping approach, proposed by Simar and Wilson (1998, 1999) which takes into account the timedependence structure of the data, to generate the appropriate bootstrap samples for analyzing productivity changes of Taiwan’s International Tourist Hotels (ITHs). The dataset, obtained from the annual Operating Report of International Tourist Hotel in Taiwan published by the Taiwan Tourism Bureau during 2010-2015, consists of 67 ITHs and 402 observations. Empirical results indicate that it is apparent to overstating the situation of changes in efficiency of Taiwan’s ITHs, and even worse...
International Journal of Strategic Property Management, 2018
This study is the first to address the exposure of banking industry stock returns to both the com... more This study is the first to address the exposure of banking industry stock returns to both the commercial and residential real estate markets. The empirical findings show that U.S. banking industry stock returns are significantly sensitive to real estate market returns after controlling for stock market, interest rate, and exchange rate effects. Moreover, the commercial and residential real estate markets have very different effects on banking industry stock returns. Furthermore, the effects on banking industry stock returns are state-dependent. The findings have valuable implications for investors, managers and regulatory authorities.
Recommended Citation Kuo, Shew-Huei, "An examination of the evolving relationship between interes... more Recommended Citation Kuo, Shew-Huei, "An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using asymmetric dynamics in yield spreads " (2000). Retrospective Theses and Dissertations. 13911. https://lib.dr.iastate.edu/rtd/13911 INFORMATION TO USERS This manuscript has t)een reproduced from the microfilm master. UMI films the text directly from the original or copy sut)mitted. Thus, some thesis and dissertation copies are in typewriter face, while others may be from any type of computer printer. The quality of this reproduction is dependent upon the quality of the copy submitted. Broken or indistinct print, colored or poor quality illustrations and photographs, print bleedthrough, substandard margins, and improper alignment can adversely affect reproduction. In the unlikely event that the author did not send UMI a complete manuscript and there are missing pages, these will be noted. Also, if unauthorized copyright material had to be removed, a note will indicate the deletkm. Oversize materials (e.g., maps, drawings, charts) are reproduced by sectioning the original, beginning at the upper left-hand comer and continuing from left to right in equal sectrons with small overiaps. Photographs included in the original manuscript have been reproduced xerographicaliy in this copy. Higher quality 6' x 9' black and white photographic prints are available for any photographs or illustratk>ns appearing in this copy for an additional charge. Contact UMI directly to order. Bell & Howell Information and Learning 300 North Zeeb Road, Ann Arbor. Ml 48106-1346 USA umT 800-521-0600 An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using asymmetric dynamics in yield spreads
International Journal of Strategic Property Management, 2016
This study examines the price discovery function and volatility spillovers in australian real est... more This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.
Abstract This study examines the influence of real estate investment trust (REIT) initial public ... more Abstract This study examines the influence of real estate investment trust (REIT) initial public offering (IPO) announcements on the returns of non-REIT real estate stocks in Taiwan. In contrast to the Malaysian study of Sing, Ho, and Mak (2002), we find that Taiwan REIT IPOs have favorable effects on these stocks. Moreover, investors can obtain higher abnormal returns from investing in underpriced non-REIT real estate stocks following Taiwan REIT IPO announcements. (ProQuest: ... denotes formulae omitted.) Global real estate securities investing has become increasingly popular in recent years (Bigman and Chiu, 2005; Hughes, 2007), as evidenced by the growth of the number of global real estate funds. At the end of the last decade, only 10 such funds existed; by the end of 2003 that number had doubled to 20, and it more than doubled again to 41 in 2004 (Hughes and Arissen, 2006). As the momentum continued to increase, the number of global funds increased to 68 in 2005 and to 93 in 2006 (National Association of Real Estate Investment Trusts, 2007). To the best of our knowledge, there are 155 global real estate mutual funds as of February 28, 2010 (Yahoo! Finance, 2010).1 To obtain the benefits of global diversification without sacrificing liquidity, global real estate mutual funds invest in both real estate investment trusts (REITs) and non-REIT public real estate stocks. Because REITs and non-REIT real estate stocks have a common link to the private real estate market (Giliberto, 1990; Chen and Guo, 2004; Lee, Lee, and Chiang, 2008) and both are traded in the stock market, there may be an interaction between these two categories of stocks such that developments in the REIT market may attract the interest of investors in non-REIT real estate stocks and thereby influence the market for those stocks. If the market believes that REIT initial public offerings (IPOs) indicate a likelihood of prosperity for the real estate market, then the IPOs can signal prosperity for the non-REIT real estate stocks. In contrast, if the market believes that the timing of REIT IPOs coincides with the peaks of the real estate market and thus indicates an over-valuation of real estate values, or that REIT IPOs may trigger a transfer of funds away from the non-REIT stocks, then the IPOs will have a negative effect on these stocks. Understanding how REIT IPOs influence the returns of non-REIT real estate stocks can help real estate securities investors, such as global real estate securities funds, to make better investment decisions. We therefore examine this issue with the hope of offering some implications for the increasingly popular practice of global real estate securities investing. As far as we know, this subject has not drawn much attention, except for the Malaysian study of Sing, Ho, and Mak (2002). The objectives of our study are to examine the return reactions of non-REIT real estate stocks to REIT IPOs and their determinants in Taiwan. By so doing, this study offers contributions in the following three aspects. First, we extend the scant existing studies to another important emerging market. Taiwan is an important emerging real estate securities market in the Far East. To the best of our knowledge, the existing literature contains neither studies on market signals associated with Taiwan REIT IPOs nor literature describing the impact of REITs on non-REIT real estate stocks in Taiwan. At the end of May 2007, in terms of market capitalization, the Taiwan REIT (non-REIT real estate stock) market accounted for about 37.29% (30.70%) of the Far East Emerging REIT (non-REIT real estate stocks) market (Moss, 2007).2 The importance of the Taiwan market is also reflected in the inclusion of Taiwan in the Dow Jones global real estate indices and the recently launched FTSE EPRA/NAREIT emerging markets indices. The empirical results of this study therefore can be of help to global real estate securities investors who are interested in real estate securities in Taiwan. …
This study investigates the intra-industry effects of cash dividend announcements for U.S. real e... more This study investigates the intra-industry effects of cash dividend announcements for U.S. real estate investment trusts (REITs). That is, based on the market model framework, this study examines whether a change in an announcing REIT's dividends has information externality on its peers/rivals. Our results suggest that REIT dividend announcements have contagion effects. In addition, consistent with the existing literature, these contagion effects are found to be asymmetric and more prevalent for dividend-decreasing events.
Journal of the Japanese and International Economies, 2004
ABSTRACT Thesis (Ph. D.)--University of Washington, 1982 This dissertation examines the Japanese ... more ABSTRACT Thesis (Ph. D.)--University of Washington, 1982 This dissertation examines the Japanese term structure of interest rates. The first chapter is a study of the theory and practice of term structure measurement. Particular attention is paid to the applications of spline theory to the measurement problem. A new method of measurement based upon cyclical theories of the term structure is also put forward. The second chapter is a brief review of debt management policies in Japan. The object of this chapter is the construction of a comprehensive set of data pertaining to the maturity structure of fixed-term debt outstanding in Japan's bond markets. The third chapter contains tests of implications for three groups of theories of the interest rate term structure. (i) The pure expectations theories of the term structure are rejected upon the basis of tests of their variance bound implications. (ii) Tests for links between debt management policies and the term structure use the maturity structure data developed in Chapter II. Several tests for such links are rejected. (iii) A number of hypotheses which connect inflation and inflation uncertainty to the term structure are supported by the data. It was also found the variability of holding period yields across terms of maturity can be partially described in an autoregressive conditional heteroscedastic (ARCH) framework.
... Yunlin University of Science and Technology Ming-Te Lee Ming Chuan University Chia-Wei Lin Na... more ... Yunlin University of Science and Technology Ming-Te Lee Ming Chuan University Chia-Wei Lin National ... This study, like the study of Liow and Sim (2006), employs construction stocks as non-REIT ... a dummy variable and equals 1 if the REIT IPO is listed in TSE; otherwise, EXCH ...
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