In the asset-pricing framework, idiosyncratic risk is the risk that is independent of systematic risk and peculiar to one specific asset or company, it is left with no role in expected returns according to the classic finance theory since it could be completely diversified away. However, in the case investors holding under-diversified portfolios, previous theoretical studies generally demonstrate a positive relationship between idiosyncratic risk and expected returns. However, negative empirical evidences regarding the idiosyncratic risk-return tradeoff have been reported recently in the stock market of the U.S. and China, as well as in several real estate literatures. To reconcile the conflict, this thesis is dedicated to investigate the role of idiosyncratic risk in the context of real estate investment. In the theoretical exploration, an asset-pricing model with short-sales restrictions in the market and heterogeneous beliefs among investors is established. Specifically, a simplified version with only three risky assets, in which two of them are direct and indirect real estate investments, demonstrates when investors endowed with incomplete information setting and under-diversified holdings, idiosyncratic risk would play an important role in the expected returns in equilibrium. Furthermore, the comparative static analysis reveals a positive cross-sectional relationship between idiosyncratic risk and expected returns. In the empirical study, this thesis employs the Fama and French (1992) three-factor model to estimate monthly idiosyncratic volatilities of the Listed Property Companies (LPCs) in the A-share market of China, based on the daily data from May 1999 to Aug 2011. Specifically, for each LPC in each month, its idiosyncratic risk is computed as the standard deviation of the three-factor model’s daily residuals. The estimation outputs show that idiosyncratic volatility dominates the LPCs’ overall volatility during the study period, and it is features with a distinct pattern when compared to that of the U.S. REITs: the LPCs’ idiosyncratic volatilities are significantly higher and more persistent; they are less irrelevant to the firm’s market capitalization and present an evident co-movement with the broad market. Hence, this scenario reveals a special interest to further study on the cross-sectional relationship between the LPCs’ idiosyncratic risk and their expected returns. In the cross-sectional test, conditional idiosyncratic volatility forecasted by the EGARCH-GED model is employed as the proxy for expected idiosyncratic risk, as the LPCs’ lagged idiosyncratic risk is shown to be not a good estimate. Over the study period, a firm positive cross-sectional relationship between idiosyncratic risk and expected returns is documented, after controlling for various pricing factors such as firm size and book-to-market equity ratio, indicators of liquidity and momentum as well as returns reversal effect. This evidence not only confirms the prediction of previous theoretical studies and the model in this thesis, it also suggests a profitable trading strategy based on the idiosyncratic risk of the LPCs. / published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / Real Estate and Construction / Master / Master of Science in Real Estate and Construction

The buildings sector consumes approximately 40% of energy in the United States, and presents a major opportunity for reducing society's energy consumption and environmental impact. Given the potential downside impacts of climate change and resource depletion, it is imperative that the construction industry deliver buildings that meet owner requirements while using less energy and natural resources. In response to this challenge, the construction industry has adopted voluntary green building programs that provide guidelines for construction projects wishing to reduce their environmental impact. Green building programs also present the opportunity for those pushing beyond the status quo to receive increased recognition and market visibility; however, certification under these programs is not without an added cost. The added cost of certification varies by project, but building owners and builders must be able to justify this added cost through increased market recognition and sales and leasing prices. Given the relatively low recognition of a price premium for green certified residential properties by the real estate appraisal community and financial institutions, a need exists to demonstrate the added market recognition of these homes. Through the development of a hedonic regression pricing model this study isolates the effects of green building certification on housing sales prices, in order to prove the hypothesis that a significant increase in sales price is associated with green certified housing.

by Chan Tsun Kit. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 64-67). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgments --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Figures --- p.vii / List of Appendices --- p.viii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Background --- p.4 / Chapter 2.1 --- The Importance of Real Estate Sector --- p.4 / Chapter 2.1.1 --- Employment Sector --- p.5 / Chapter 2.1.2 --- Investment Sector --- p.5 / Chapter 2.1.3 --- Banking Sector --- p.6 / Chapter 2.1.4 --- Government Sector --- p.6 / Chapter 2.2 --- Characteristics of the Real Estate Market --- p.7 / Chapter 2.3 --- Price Movement --- p.10 / Chapter 2.4 --- Major Developer --- p.13 / Chapter 2.4.1 --- Sun Hung Kai Properties --- p.15 / Chapter 2.5 --- Contribution of Real Estate Sector on Stock Market --- p.16 / Chapter 2.6 --- Connection between Real Estate and Stock Market --- p.17 / Chapter Chapter 3. --- Literature Review --- p.19 / Chapter Chapter 4. --- Methodology --- p.24 / Chapter 4.1 --- The Model --- p.24 / Chapter 4.2 --- Variables Used --- p.27 / Chapter 4.3 --- Sources of Data --- p.29 / Chapter Chapter 5. --- Empirical Findings --- p.30 / Chapter Chapter 6. --- Implication --- p.33 / Chapter Chapter 7. --- Limitation --- p.35 / Chapter Chapter 8. --- Conclusion --- p.37 / Tables --- p.39 / Figures --- p.48 / Appendices --- p.50 / Bibliography --- p.64

Lau, Chi Keung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 187-188). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Chosen Samples Results --- p.v / List of Tables --- p.vi / List of Figures --- p.vii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1 --- Real Estate Literature --- p.4 / Chapter 2.2 --- Financial Literature --- p.8 / Chapter Chapter 3. --- Methodology --- p.15 / Chapter 3.1 --- Augmented Dickey Fuller Test --- p.15 / Chapter 3.2 --- Band-Pass Filter --- p.18 / Chapter Chapter 4. --- Data Description --- p.20 / Chapter Chapter 5. --- Empirical Results --- p.23 / Chapter 5.1 --- Contemporaneous Correlation --- p.24 / Chapter 5.2 --- Results after Band-Pass Filtering --- p.26 / Chapter 5.3 --- Lead-lag Relationship Analysis --- p.30 / Chapter Chapter 6. --- Conclusion --- p.35 / Appendix 1. Variable Definition --- p.38 / Appendix 2. Limitation --- p.41 / Appendix 3. Results of Chosen Samples --- p.45 / Appendix 4. Tables --- p.54 / Appendix 5. Figures --- p.109 / Bibliography --- p.187