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- W2065947318 abstract "This study investigates the time series behavior of real estate company net asset value discount/premium (NAVDISC) in eight Asian-Pacific securitized real estate markets from 1995 to 2003. We postulate that if there is a stable NAVDISC for real estate companies in the long-run, then there should be a long-run cointegrating relation between their stock prices (Ps) and net asset values (NAVs). Employing panel data cointegration econometrics that comprises three approaches; panel unit root test, heterogeneous panel cointegration test and dynamic panel error-correction modeling (ECM), we find that long run NAVDISCs persist in individual Asian-Pacific securitized real estate markets and the regional market. All the NAVDISCs exhibit mean reversion and that the respective disequilibrium errors fluctuate around the mean values. Moreover, NAV is an important factor that statistically explains the price variations in real estate stock prices regardless of their speed of mean-reversion in the NAV discount/premium." @default.
- W2065947318 created "2016-06-24" @default.
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- W2065947318 date "2005-09-27" @default.
- W2065947318 modified "2023-09-27" @default.
- W2065947318 title "Net Asset Value Discounts for Asian-Pacific Real Estate Companies: Long-run Relationships and Short-term Dynamics" @default.
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