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Excess Return and Risk Characteristics of Asian Exchange Listed Real Estate

This study examines the behavior of the excess returns of publicly-listed real estate firms whose shares are traded in Japan, Taiwan, Hong Kong, South Korea, Singapore, and Thailand in widely-varying market situations. The results indicate that the publicly-traded stocks of real estate firms in these markets, apart from Taiwan, do not exhibit excess return behavior. In addition, with the exception of South Korea, the risk characteristics of exchange-listed real estate firms are found to vary with differences in market conditions. We also demonstrate that there was no structural shift in return behavior around the Asian crisis.