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dc.contributor.authorLiu, Crocker H.
dc.contributor.authorMei, Jianping
dc.date.accessioned2020-09-12T21:03:18Z
dc.date.available2020-09-12T21:03:18Z
dc.date.issued1999-01-01
dc.identifier.other5275483
dc.identifier.urihttps://hdl.handle.net/1813/71537
dc.description.abstractThe paper offers some new evidence which suggests that Japanese equity and real estate markets might not necessarily behave in a parallel manner to US capital markets. These results are obtained from an examination of the nature of expected and unexpected movements in the returns of Japanese assets and US assets using a present-value model which allows for a time-varying expected discount rate in conjunction with a VAR process. Based on data from 1972–92, it is found that one distinctive difference is that changes in the future expected return for Japanese real estate and stocks are less persistent over time than their US counterparts. It is also found that the impact of Japanese markets on the US market was relatively small. On the other hand, there is some evidence that the US equity market had some significant impact on the Japanese equity market. Returns on Japanese stocks also exhibit a weaker mean reversion process relative to returns on US stocks and US real estate.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Wiley. Final version published as: Liu, C. H., & Mei, J. (1999). A time-varying risk analysis of equity and real estate markets in the US and Japan. Pacific Economic Review, 4(3), 321-336. Reprinted with permission. All rights reserved.
dc.subjectrisk analysis
dc.subjectreal estate markets
dc.subjectfinancial management
dc.subjectasset markets
dc.subjectequity markets
dc.subjectglobalization
dc.subjectJapan
dc.titleA Time-Varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan
dc.typearticle
dc.relation.doihttps://doi.org/10.1111/1468-0106.00082
dc.description.legacydownloadsLiu11_A_time_varying_risk_analysis.pdf: 239 downloads, before Aug. 1, 2020.
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationMei, Jianping: New York University


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