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The Abnormal Return Performance of Singapore Property Companies

Author/s: Liow Kim Hiang

Date Published: 1/01/2001

Published in: Volume 7 - 2001 Issue 2 (pages 104 - 112)

Abstract

This study provides an empirical investigation of time-varying abnormal return performance of Singapore property companies between 1990 and 1999, an eventful period when the local stock and property markets were affected by strong economic growth, anti-speculation curbs on residential property market and the Asian economic crisis. The study fails to detect any superior abnormal return performance in the property stock market. However, there is some evidence that the abnormal returns in the physical property and property stocks are linked. The property investment implications arising from the study are also evaluated.

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Keywords

Abnormal Returns - Kalman Filter - Property Market - Property Stocks - Singapore - Time-Varying Modified Jensen Index

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