Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model

Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model

© Springer International Publishing AG 2018. This study introduces an approach to fitting a copula based seemingly unrelated regression to an interval-valued data set. This approach consists of fitting a model on the appropriate point of the interval values assumed by the variables in the learning s...

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Main Authors: Rungrapee Phadkantha, Woraphon Yamaka, Roengchai Tansuchat
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037867938&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43895
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-438952018-01-24T04:14:50Z Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model Rungrapee Phadkantha Woraphon Yamaka Roengchai Tansuchat © Springer International Publishing AG 2018. This study introduces an approach to fitting a copula based seemingly unrelated regression to an interval-valued data set. This approach consists of fitting a model on the appropriate point of the interval values assumed by the variables in the learning set. To find the appropriate point of the interval values, we assign weights in calculating the appropriate value between intervals by using convex combination method. We apply this methodology to quantify the risk and dependence of Real Estate Investment Trust (REITs) in Asia. Our results suggest that Hong Kong and Japan markets have a positive sign of the beta and both markets have less volatility than the global REITs market. On the other hand, we find that the estimated beta for Singapore market shows a negative relationship with global REITs market. We conclude that Singapore market can be viewed as a hedge against higher risk in Asian REITs. 2018-01-24T04:14:50Z 2018-01-24T04:14:50Z 2018-01-01 Book Series 1860949X 2-s2.0-85037867938 10.1007/978-3-319-70942-0_38 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037867938&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43895
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing AG 2018. This study introduces an approach to fitting a copula based seemingly unrelated regression to an interval-valued data set. This approach consists of fitting a model on the appropriate point of the interval values assumed by the variables in the learning set. To find the appropriate point of the interval values, we assign weights in calculating the appropriate value between intervals by using convex combination method. We apply this methodology to quantify the risk and dependence of Real Estate Investment Trust (REITs) in Asia. Our results suggest that Hong Kong and Japan markets have a positive sign of the beta and both markets have less volatility than the global REITs market. On the other hand, we find that the estimated beta for Singapore market shows a negative relationship with global REITs market. We conclude that Singapore market can be viewed as a hedge against higher risk in Asian REITs.
format Book Series
author Rungrapee Phadkantha
Woraphon Yamaka
Roengchai Tansuchat
spellingShingle Rungrapee Phadkantha
Woraphon Yamaka
Roengchai Tansuchat
Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
author_facet Rungrapee Phadkantha
Woraphon Yamaka
Roengchai Tansuchat
author_sort Rungrapee Phadkantha
title Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
title_short Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
title_full Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
title_fullStr Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
title_full_unstemmed Analysis of risk, rate of return and dependency of REITs in ASIA with capital asset pricing model
title_sort analysis of risk, rate of return and dependency of reits in asia with capital asset pricing model
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037867938&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43895
_version_ 1681422458578534400

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