IDAsymmetricBehaviorinAsianRealEstateSecuritizedMarketbyWangZiyou.docVIP

Asymmetric Behavior in Asian Real Estate Securitized Market Wang Ziyou Department of building and Real Estate, The Hong Kong Polytechnic University Hong Kong, CHINA Abstract The recent interest in anomaly of return rate in real estate securitized market. This paper applies the momentum time series model to three markets, namely Hong Kong, Singapore and Japan. This new developed model we introduced here shows some significant implication of movement dynamic of the return rate in real estate securitized market. Then we analyze the differences among six patterns of these three regions. Furthermore, the paper indicates some important queries to EMH from the phenomena that investors may overestimate or underestimate the real value of assets when facing the asymmetric information situation. Through the empirical studies, the distinct results tell different stories in each region. At the same time, we find that there are discrepancies between the property market and the REITs market for each region which is different from previous studies. Keywords Property market, REITs, momentum property 1. Introduction The concept of efficient market hypothesis (EMH) was firstly introduced by Samuelson in 1965. Attributed to Fama and Jensen’s effort, the EMH became a framework of idea and analysis to rational views of a stock market, capturing the ideology of modern classical economics. It has been the central proposition of finance for more than thirty years and has often been cited in economic research. There is no other proposition in economics which has more solid empirical evidence supporting it than the EMH. The statement laid out attic faith which was full of economists’ mind. However the expression in the paper by Jensen (1978) was disputed in his same paper to conclude that evidence is arising as to be inconsistent with the theory. The increasing manner is remarkably similar to the anomalies what Jensen described and illustrates that efficient market looks l