Handbook of Asian Finance: REITs, Trading, and Fund Performance, Volume 2

Handbook of Asian Finance

REITs, Trading, and Fund Performance

Volume 2

First Edition

Edited by

Greg N. Gregoriou

David Lee Kuo Chuen

Table of Contents

Cover image

Title page

Copyright

Editor Bios

Contributor Bios

Acknowledgments

Introductory Chapter. Asia Finance: The Emergence of Asia Economy and New Development in Finance

REITs

Trading

Fund Performance

Summary of Individual Chapters in Volume II

Re-Emergence of Asia

Disclaimers

Part 1: REITs

Chapter 1. The Evolution of Financial Analysts’ Forecasts for Asian REITs and Real Estate Companies

Abstract

1.1 Introduction

1.2 Conceptual Framework

1.3 Data and Methodology

1.4 Analysis of Financial Analysts’ Forecasts

1.5 Conclusion

Appendix 1 Real Estate: Detailed Evolution of FAFs Accuracy and Bias in the Real Estate Sector for Asian Pacific Countries from 2001 to 2012

Appendix 2 The Evolution of FAFs Accuracy (diamond black line) and Bias (square gray line) (figure on the left), and Coverage in the Real Estate Sector for Asian Pacific countries from 2001 to 2012 (figure on the right)

Appendix 3 Detailed Evolution of FAFs Accuracy and Bias in the Real Estate Sector for Asian Pacific Countries from 2001 to 2012 (except the real estate sector)

Appendix 4 Detailed Evolution of Average Analyst Following for Real Estate Firms in Asian Pacific Countries: from 2001 to 2012

References

Chapter 2. Home Bias in Asian REIT Portfolio Investment Strategies

Abstract

Acknowledgments

2.1 Introduction

2.2 Literature Review

2.3 Empirical Analysis

2.4 Conclusion

References

Chapter 3. Market Structure and Growth Potential of Singapore REITs

Abstract

3.1 Introduction

3.2 Market Structure of Singapore REITs

3.3 Performance of Singapore REITs

3.4 Growth Options of Individual REITs

3.5 Conclusion

References

Chapter 4. Another Look at Asian REITs Performance after the Global Financial Crisis

Abstract

4.1 Introduction

4.2 Literature Review

4.3 Methodologies

4.4 Data and Asset Pricing Model

4.5 Results and Findings

4.6 Conclusion

Appendix 1: Figures-Jensen’s Alpha in the 9 APAC REIT Markets (April 2005 to May 2013)

Appendix 2: Figures-Information Ratio (IR) in the 9 APAC REIT Markets (April 2005 to May 2013)

Appendix 3: Figures-Generalized Treynor Ratio (GTR) in the 9 APAC REIT Markets (April 2005 to May 2013)

Appendix 4: Figures-Ratio 2 in the 9 APAC REIT Markets (April 2005 to May 2013)

Appendix 5: Figures-Ratio 2 in the 9 APAC REIT Markets (April 2005 to May 2013)

References

Chapter 5. Bootstrap Analysis for Asian REIT’s Portfolios

Abstract

5.1 Introduction

5.2 Related Literature

5.3 Methodology

5.4 Data Description

5.5 Results

5.6 Conclusion

Appendix

References

Chapter 6. Varying Implicit Prices of Housing Attributes: Testing Tiebout Theory

Abstract

6.1 Introduction

6.2 Model Specification

6.3 Study Area and Data

6.4 Empirical Results

6.5 Conclusion

References

Part 2: Trading

Chapter 7. High-Frequency Trading on Asian Exchanges

Abstract

7.1 Introduction

7.2 Impact of HFT on the Order Book

7.3 Risk and Regulatory Considerations for Asia

7.4 SGX: The Largest Offshore Market for Asian Equity Derivatives

7.5 SBI Japannext: The Dominant PTS for Japanese Equities

7.6 Discussion: Market Quality and Social Welfare

7.7 Conclusion

References

Chapter 8. The Regulation of High-Frequency Trading: An Asian Perspective

Abstract

8.1 Introduction

8.2 The Growth of HFT in Asia

8.3 Some Misconceptions

8.4 The HFT Debate: An Asian Perspective

8.5 The HFT Debate: A General Perspective

8.6 Conclusion

References

Chapter 9. Does the Chart Pattern Work in Asian Markets?

Abstract

9.1 Introduction

9.2 Methodology of Automating Technical Analysis

9.3 Empirical Results

9.4 Conclusion

References

Chapter 10. Algorithm Trading in Asian Currency FX Markets

Abstract

Acknowledgments

10.1 Introduction

10.2 The Evolving Role of the JPY and the AUD

10.3 Carry Trades, Microstructural Model, and EBS Foreign Exchange Spot Market

10.4 JPY/AUD Cross-Rate Transactions at Tick

10.5 Comparisons with AUD/USD and JPY/USD at Tick

10.6 Conclusion

References

Chapter 11. Relative Valuation Approach for Valuing Equity in Malaysia

Abstract

Acknowledgment

11.1 Introduction

11.2 Literature Review

11.3 Research Design

11.4 Data Analysis

11.5 Conclusion

References

Chapter 12. A Common Measure of Liquidity Costs for Futures and Stock Exchanges

Abstract

Acknowledgments

12.1 Introduction

12.2 A Brief Review of Implicit Trading Costs

12.3 Model and Linear Specification

12.4 Data and Institutional Features

12.5 Estimation and Analysis

12.6 Conclusion

Appendix: Related Models in Our Framework

References

Chapter 13. The Trading Behavior of iShares Listed on the Honk Kong Stock Exchange

Abstract

13.1 Introduction

13.2 Data and Statistics

13.3 Performance Assessment

13.4 Pricing Efficiency Assessment

13.5 Conclusion

References

Chapter 14. The Effectiveness of Technical Trading Models in Asian Equity Markets around the Financial Crisis

Abstract

14.1 Introduction

14.2 The Trading Rule Methodology

14.3 Data Description

14.4 Results

14.5 Conclusion

References

Chapter 15. Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis

Abstract

Acknowledgments

15.1 Introduction

15.2 The Links between the Financial Sector and the Real Economy

15.3 The Global Financial Crisis

15.4 Change-Point Analysis

15.5 Sample

15.6 Results

15.7 Conclusion

References

Chapter 16. News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

Abstract

16.1 Introduction

16.2 RavenPack News Database

16.3 Data and Sample

16.4 Theory of MDH and Effects of News Sentiment on Stock Return Volatility

16.5 Test for Long Memory of Volatility

16.6 Empirical Results

16.7 Conclusion

Appendix A: TOPIX Core 30 Stocks

Appendix B: RavenPack Algorithms

References

Part 3: Fund Performance

Chapter 17. Evaluation of Mutual Fund Growth and Performance in Asia

Abstract

17.1 Introduction

17.2 Background to Funds Management

17.3 Academic Evidence Regarding Mutual Fund Performance

17.4 Data and Sampling

17.5 Performance of Open-ended Asian Region Mutual Funds

17.6 Conclusion

References

Chapter 18. The Hedge Fund Alpha Puzzle with an Application to Asian Hedge Funds

Abstract

18.1 Introduction

18.2 The Choice of Instruments

18.3 Empirical Specifications of the Fama and French Model

18.4 Empirical Results and Analysis

18.5 Conclusion

Appendix 1 (As at June 13, 2013)

References

Chapter 19. Performance Attribution in Emerging Markets an Application to Chinese Open-End Active Mutual Funds

Abstract

19.1 Introduction

19.2 Theoretical Framework

19.3 Conditional Performance Evaluation

19.4 Estimation of Alpha in a SDF Framework

19.5 Data

19.6 Empirical Findings

19.7 Conclusion

References

Chapter 20. Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region

Abstract

Acknowledgments

20.1 Introduction

20.2 Literature Review

20.3 Data

20.4 Methodology

20.5 Results

20.6 Conclusion

References

Chapter 21. What Drives the Time-Varying Performance of Japanese Mutual Funds?

Abstract

21.1 Introduction

21.2 RavenPack News Database

21.3 Data and Sample

21.4 Markov Regime-Switching Models and Two-States TGARCH Model

21.5 Empirical Results

21.6 Conclusion

Appendix A Selected ETF list

Appendix B RavenPack Algorithms

Appendix C Preliminary Estimates of GARCH Model

Appendix Table D: Preliminary Estimates of TGARCH Model

Appendix Table E: Summary Outputs of GARCH and TGARCH Models

References

Chapter 22. Tournament Behavior in Asian Managed Funds

Abstract

22.1 Introduction

22.2 A Brief Look at the Literature

22.3 Fund Management in Asia

22.4 Methodology and Data

22.5 Empirical Results: Malaysia

22.6 Empirical Results: Bahrain

22.7 Empirical Results: Pakistan

22.8 Empirical Results: Singapore

22.9 Conclusion

References

Chapter 23. Performance of Asian Mutual Funds

Abstract

23.1 Introduction

23.2 Mutual Funds in Asia

23.3 Data

23.4 Methods and Empirical Results

23.5 Conclusion

References

Chapter 24. Mean Variance Analysis of Asian Hedge Funds

Abstract

Acknowledgments

24.1 Introduction

24.2 Data

24.3 Methodology

24.4 Analysis of Asian Hedge Funds

24.5 Discussion

24.6 Conclusion

References

Index

Copyright

Academic Press is an imprint of Elsevier

525 B Street, Suite 1800, San Diego, CA 92101, USA

225 Wyman Street, Waltham 02451, USA

The Boulevard, Langford Lane, Kidlington, Oxford, OX5 1GB, UK

Copyright © 2014 Elsevier Inc. All rights reserved

No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means electronic, mechanical, photocopying, recording or otherwise without the prior written permission of the publisher

Permissions may be sought directly from Elsevier’s Science & Technology Rights Department in Oxford, UK: phone (+44) (0) 1865 843830; fax (+44) (0) 1865 853333; email: permissions@elsevier.com. Alternatively you can submit your request online by visiting the Elsevier web site at http://elsevier.com/locate/permissions, and selecting Obtaining permission to use Elsevier material

Notice

No responsibility is assumed by the publisher for any injury and/or damage to persons or property as a matter of products liability, negligence or otherwise, or from any use or operation of any methods, products, instructions or ideas contained in the material herein. Because of rapid advances in the medical sciences, in particular, independent verification of diagnoses and drug dosages should be made

British Library Cataloguing in Publication Data

A catalogue record for this book is available from the British Library

Library of Congress Catalog in-Publication Data

A catalog record for this book is available from the Library of Congress

ISBN: 978-0-12-801287-1 (SET)

ISBN: 978-0-12-800982-6 (Vol. 1)

ISBN: 978-0-12-800986-4 (Vol. 2)

For information on all Academic Press publications visit our website at books.elsevier.com

Printed and bound in the United States

14 15 16 17 10 9 8 7 6 5 4 3 2 1

Editor Bios

David Lee Kuo Chuen is a Professor of Quantitative Finance at the Singapore Management University and the owner of Ferrell Asset Management Group. He is also Director of the Sim Kee Boon Institute for Financial Economics. He has been a specialist fund manager in hedge funds, direct investment, property portfolio, and development since 1999. He obtained his Ph.D. from the London School of Economics and Political Science in 1990. His Ph.D. thesis focused on Applied Semiparametrics. He was a pioneer in Hedge Fund investments in Singapore and founded Ferrell Asset Management in 1999. His deep involvement within the Singapore business community led to his appointment as the Managing Director of two publicly listed companies, namely, Auric Pacific Limited and Overseas Union Enterprise Limited. He was also the former Chairman of MAP Holdings Limited and a member of the SGX Security Committee. He has been sought after speaker at conferences and frequently quoted in the media. Currently, he is the Independent Director of several listed companies including HLH Group Limited and a member of the Monetary Authority of Singapore Financial Research Council. He is also a Council Member of the Economic Society of Singapore, and a Board Member of the Kwong Wai Shui Hospital as well as the Yueng Ching Foundation. He is a member of Investment Committee for several charitable, professional, and endowment funds. He was adjunct faculty in National University and Nanyang Technological University. He has published numerous books and papers in Statistics, economics, and finance journals with special interests in asset allocation, hedge fund, and portfolio management. His recent publications have appeared in Journal of Wealth Management and Journal of Investing.

Greg N. Gregoriou is a native of Montreal and of Greek decent. He obtained his joint PhD at the University of Quebec at Montreal in Finance which merges the resources of Montreal’s four major universities UQAM, McGill, Concordia, and HEC. He has published 50 books, 60 refereed publications in peer-reviewed journals, and 22 book chapters since his arrival at SUNY (Plattsburgh) in August 2003. His books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan, and Risk Books. Three of his Wiley books have been translated into Chinese and one published by Elsevier in Russian. His articles have appeared in the Review of Asset Pricing Studies [with Professor Stephen J. Brown the David S. Loeb Professor of Finance at NYU and Professor Razvan Pascalau at SUNY (Plattsburgh)], Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc. He has also been quoted several times in the New York Times and the Financial Times of London. He is hedge fund editor and editorial board member for the Journal of Derivatives and Hedge Funds, as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, The Journal of Quantitative Methods for Social Sciences, and the Brazilian Business Review. His interests focus on hedge funds, funds of funds, and CTAs. He is an EDHEC Research Associate in Nice, France and Research Associate at the Caisse de dépôt et placement du Québec Endowed Chair in Portfolio Management at the University of Quebec at Montreal as well as Lecturer in the School of Continuing Studies at McGill University. In addition, he is a Senior Advisor to the Ferrell Asset Management Group in Singapore.

Contributor Bios

David E. Allen is an Adjunct Professor in the Centre for Applied Financial Studies at the University of South Australia and a Visiting Professor in the School of Mathematics and Statistics at the University of Sydney. He was previously Professor of Finance at Edith Cowan University, Perth, Western Australia. He is the author of three monographs and over 90 refereed publications on a diverse range of topics covering corporate financial policy decisions, asset pricing, business economics, funds management and performance bench-marking, volatility modeling and hedging, and market microstructure and liquidity.

Wei Rong Ang is currently a master’s student at the School of Social Sciences, Universiti Sains Malaysia. His thesis focuses on socially responsible investing funds under the supervision of Dr. Hooi Hooi Lean.

Zhidong Bai is Professor of Statistics in School of Mathematics and Statistics at North East Normal University. He holds a Ph.D. in Statistics from University of Science and Technology of China. He is the fellow of the Institute of Mathematical Statistics and the Third World Academy of Science. He has published over 100 research papers and books and served in the capacity of editor, associate editor, or member of the advisory board for journals and conferences.

Kym Brown is a lecturer at Monash University specializing in banking. Her Ph.D. undertaken at Monash University examined the financial development of 12 economies across the Asia Pacific, and bank cost and profit efficiency allowing for regional differences. Her research includes bank performance, financial system architecture in developing countries, Islamic finance, corporate governance, bank liquidity, and syndicated loans.

Juliana Caicedo-Llano is a lecturer of Economics and Finance at the department of Economics of the Université d’Evry-val-d’Essone (UEVE) since 2011. She received her masters degree and Ph.D. from the University of Paris West-Nanterre (France) and she finished her undergraduate studies of industrial engineering at the Universidad de los Andes in Bogotá (Colombia). Before joining the UEVE, she worked as associate professor at ESG-School of Management in Paris for 3 years. Since 2008 she has been teaching portfolio management, financial econometrics, fixed income markets, R programming, and excel applications for finance. Her research interests relate to the study of the dynamics of financial assets and to risk management, in particular in emerging markets. She is also an associate and consultant for Eonos Investment Technologies since 2009.

Seonghoon Cho is an Associate Professor at the Department of Agricultural and Resource Economics, University of Tennessee. His research primarily focuses on the area of natural resource and environmental economics, land economics, and spatial econometrics. His research products have appeared in highly respected peer-reviewed journals, e.g. American Journal of Agricultural Economics, Ecological Economics, Economics Letters, Land Economics, and Regional Science and Urban Economics.

Alain Cöen is a Full Professor of Finance at the Graduate School of Business (ESG) of the University of Quebec in Montreal (UQAM). Before joining ESG-UQÀM, he was associate professor of finance at EDHEC School of Management. He obtained his Ph.D. in Finance from the University of Grenoble, and his Ph.D. in Economics from the University of Paris I Panthéon-Sorbonne. He holds a Master of Arts in Economics with major in Macroeconomics from Laval University and an Accreditation to supervise research (HDR) from Paris-Dauphine University. He has been a visiting professor at Paris-Dauphine University, University of Paris-Ouest-Nanterre, EDHEC, Laval University, HEC- University of Liège and University of Sherbrooke. His research interests focus on asset pricing, international finance, hedge funds, REITs, business cycles and financial econometrics. He has published in several international leading journals and has written a book in financial management. He is an associate researcher of the Ivanhoé Cambridge Real Estate Chair at ESG-UQÀM Graduate School of Business.

Aurélie Desfleurs is an Associate Professor in the Accounting Department at the University of Sherbrooke (Canada). She obtained her Ph.D. in Finance from Laval University. She is also a Chartered Professional Accountants of Canada. She has published articles in the Journal of Economics and Business and the Journal of Multinational Financial Management. Her research focuses on financial analysts’ forecasts, mergers and acquisitions, and International Financial Reporting Statements.

Lucia Gibilaro (MA, Ph.D.) is a lecturer of Economics and Management of Financial Intermediaries at the University of Bergamo and Faculty member of the Ph.D. in Sciences of International Cooperation promoted by the University of Bergamo. Since 2005 she has been teaching Corporate Finance and Banking at the University of Bergamo and she was visiting scholar at Essex University (UK). Her main research interest relates to risk management, real estate, and trade credit. She has widely published in these areas and is a board member for numerous academic journals.

Kin-Yip Ho is currently an Assistant Professor at the Research School of Finance, Actuarial Studies, and Applied Statistics in the Australian National University. He has held visiting positions, including a fellowship from the Korea Institute of International Economic Policy (KIEP) to work on a research project involving Chinese financial markets. He has published articles in Thomson Reuters SSCI/SCI journals, such as China Economic Review, Japan and the World Economy, Journal of Applied Econometrics, Mathematics and Computers in Simulation, North American Journal of Economics and Finance, and World Economy. His current research interests lie in international finance, financial econometrics, and time-series analysis. He graduated with a Ph.D. in Economics from Cornell University and an Associate Diploma in Piano Performance from London College of Music.

Yongchang Hui is an assistant professor of statistics in School of Mathematics and Statistics at Xi’an Jiaotong University, China. He holds a Ph.D. in Statistics from North East Normal University.

Weihong Huang obtained his Ph.D. in Economics from University of Southern California in 1989. He has taught at Howard University (1990–1992), National University of Singapore (1992–1998), and Nanyang Technological University (since May 1999). He is a leading expert in nonlinear dynamical economics. Currently, he serves at the editorial boards of two international refereed journals. He has published widely in leading journals of economics, mathematics and physics such as Journal of Economic Behavior and Organization, Journal of Economic Dynamics and Control, Journal of Mathematical Economics, Physical Review E, Nonlinearity and Chaos.

Petko S. Kalev is a Professor of Finance in the School of Commerce at the University of South Australia. Previously he was a Senior Lecturer in Finance with the Accounting and Finance Department at Monash University. His Ph.D. is in Financial Econometrics from Monash University, his Master’s degree is in Statistics from the University of Melbourne and his Bachelor’s degree is in Mathematics, 4th year—Honours equivalent, from the University of Plovdiv. He leads the Center for Applied Financial Studies at UniSA and his research interests are in Capital Markets/Market Microstructure, Corporate Finance and Corporate Governance, Market Efficiency, Investments/Funds Management and Behaviour Finance, and Special Topics in Time Series—Empirical Economics/Financial Econometrics.

Heeho Kim is a professor of Economics at Kyungpook National University, Korea, and his main research areas are economic development, international economics, finance, and econometrics. His book entitled Money and Markets of Slaves and Land in the 17–19th century Korea was awarded the best academic book in 2006–2007 in Korea by the Ministry of Culture. In addition, Heeho has published several books in the fields of international economics and economic history of Korea. He earned a Ph.D. in Economics from North Carolina State University and worked as a program manager for the Korea National Research Foundation. He was invited as a research fellow to the Institute of Finance and Economics, which is part of the Chinese Social Science Institute (CSSI) based in Beijing, China. He sits on several boards of academic journals, including the Eurasian Economic Review and the Korean Journal of International Economics. He has published more than 50 articles and books in well-known international journals.

Taeyoung Kim is a Post-doctoral Research Associate at the Department of Agricultural and Resource Economics at the University of Tennessee. His primarily areas of research are environmental and natural resource economics, and spatial econometrics. His recent work focuses on designing efficient policy measures for producing environmental services through the use of land, valuing the economic impacts of land use, and management decision associated with policy changes.

Francis Koh is a Professor of Finance (Practice) at the Singapore Management University (SMU). He received his MBA from the University of British Columbia and Ph.D. (Finance) from the University of New South Wales. He is a Chartered Accountant of Singapore and a Fellow of the Chartered Institute of Management Accountants in UK Between 1994 and 2002, He was employed by the Government of Singapore Investment Corporation. In 2003, he was appointed Associate Dean and Director, MSc in Wealth Management Programme in the Lee Kong Chian School of Business. In November 2012, he assumed the post of Vice Provost (Special Projects) at SMU. In the same year, he was awarded an Honorary Doctorate in Economics by the University of St Gallen in Switzerland. He has been active in consulting, executive development and public service. He has also published in numerous academic journals, including the Journal of Financial Economics.

Enareta Kurtbegu is a Ph.D. student and teaching assistant in Economics and Finance at the department of Economics of the University of Evry-Val d’Essone (France). She received her double master degree from the University of Paris 1 Pantheon Sorbonne (France) and Ca’Foscari University of Venice (Italy) as a student of the Erasmus Mundus program Methods and Models in Quantitative Economics (QEM). She finished her undergraduate studies of Computer Science at the State University of Tirana (Albania). Since 2010, she has been teaching Risk Management, Portfolio Theory, Macroeconomics, and Microeconomics tutorial classes to master and bachelor students. Her research interests relate asset prices and demographic changes, intergenerational risk sharing in pension plans, risk management, and asset allocation.

Hooi Hooi Lean is an associate professor at the School of Social Sciences (Economics Program), Universiti Sains Malaysia. She has published more than 60 book chapters and journal articles in many reputed international journals such as Applied Economics, Economics Letters, Energy Economics, Journal of Financial Markets, Journal of Economic Behavior and Organization, Pacific Basin Finance Journal, and Tourism Economics. She is listed in the Who’s Who in the World 2009 and Researcher of the Week in GDNet East Asia for her excellent contributions. She has been awarded the ASEANROK Academic Exchange Fellowship Program in 2007, the Democratic Pacific Union Visiting Fellowship in 2008, and the International HERMES Fellowship Program in 2009. She also won the Sanggar Sanjung Excellent Award for Publication since 2009 and Hadiah Sanjungan Best Award for Publication since 2006. There are 720 citations to her research on Google Scholar.

Patrick Lecomte is an Executive Director in charge of the Advanced Master in Financial Techniques (Financial Engineering Asia) and a Research Fellow at ESSEC Business School (Asia Pacific). He holds a Ph.D. in real estate finance from the University of Paris X-Nanterre, an M.Phil. in Real Estate Finance from Cambridge University (England), an MBA from Columbia University (USA), and a DESS in corporate finance from the University of Paris-Dauphine (France). He is a member of the Investment Property Forum (London), the American Real Estate Society, the American Real Estate and Urban Economics Association, the European Real Estate Society, and the Asia Pacific Real Estate Association (APREA)’s Research Committee. His research interests focus on financial innovation applied to commercial real estate, and Asian listed and unlisted real estate markets. He has published numerous papers and articles in leading academic journals and industry publications.

Camillo Lento is an Associate Professor in the Faculty of Business Administration at Lakehead University, Thunder Bay, Ontario, Canada. He received his Ph.D. from the University of Southern Queensland (Australia) and holds a M.Sc. (Management) and BComm (Honours) from Lakehead University. In addition, he is a Chartered Accountant (Canada) and a Certified Fraud Examiner. Before embarking on his Ph.D., he worked in a variety of positions in accounting, auditing, and asset valuation with both Ernst and Young LLP and Grant Thornton LLP. He has authored several book chapters, journal articles, and practitioner magazine articles. In addition, his financial planning commentary has been featured in the Globe and Mail’s Report on Business, MoneySense Magazine, MoneySaver Magazine, and Canadian Business (online).

Gianluca Mattarocci (MA, Ph.D.) is a lecturer of Economics and Management of Financial Intermediaries at the University of Rome Tor Vergata and Director of Banking and Finance track of the Ph.D. in Management promoted by the University of Rome Tor Vergata. Since 2007 he has been teaching Corporate Finance at the University of Rome Tor Vergata and he was visiting scholar at the Nanjing University (China), Old Dominion University (USA), and Oxford Brookes University (UK). His main research interest relates to risk management, and real estate. He has published in this areas and is a board member for numerous academic journals.

Michael J. McAleer holds a Ph.D. in Economics from Queen’s University, Canada. He is Chair Professor of Quantitative Finance, National Tsing Hua University, Taiwan; Professor of Quantitative Finance, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Distinguished Professor, College of Management, National Chung Hsing University, Taiwan; Adjunct Professor, Department of Economics and Finance and Department of Mathematics and Statistics at the University of Canterbury, New Zealand; and Adjunct Professor, Faculty of Economics and Business, Complutense University of Madrid (founded 1293), Spain. He has been a distinguished visiting professor at many prestigious universities, including University of Tokyo, Kyoto University and Osaka University, Japan, University of Padova (founded 1222), Italy, Ca’ Foscari University of Venice, Italy, University of Zurich, Switzerland, Chinese University of Hong Kong, and Hong Kong University of Science and Technology. He is an elected Fellow of the Academy of the Social Sciences in Australia (FASSA), International Environmental Modeling and Software Society (FIEMSS), Modeling and Simulation Society of Australia and New Zealand (FMSSANZ), Tinbergen Institute, The Netherlands, and the Journal of Econometrics. He has published more than 600 journal articles and books in econometrics, economics, statistics, finance, risk management, applied mathematics, intellectual property, environmental modeling, and related disciplines. He is presently a member of the editorial boards of 26 international journals, and serves on several as Editor-in-Chief or Associate Editor-in-Chief.

Carl B. McGowan, Jr., Ph.D., CFA is a Faculty Distinguished Professor and Professor of Finance at Norfolk State University, has a BA in International Relations (Syracuse), an MBA in Finance (Eastern Michigan), and a Ph.D. in Business Administration (Finance) from Michigan State. From 2003 to 2004, he held the RHB Bank Distinguished Chair in Finance at the Universiti Kebangsaan Malaysia and has taught in Cost Rica, Malaysia, Moscow, Saudi Arabia, and The UAE. Professor McGowan’s research is in the areas of corporate finance and international finance. Professor McGowan has published 85 peer-reviewed articles and 95 proceedings and has presented 171 papers at regional, national, and international conferences.

Jones Odei Mensah is currently studying for a Ph.D. in Economics at the University of Brunei Darussalam (UBD). His research covers financial market volatility, stock diversification, and systemic risk, with a focus on the Asia pacific region. Jones holds an MA from UBD and a BA from KNUST. He is a Chartered member of the Association of Certified Chartered Economist.

Imad Moosa is a professor of finance at RMIT, Melbourne. He has also held positions at Monash University (Melbourne), La Trobe University (Melbourne), and the University of Sheffield (UK). He holds a BA in Economics and Business Studies, MA in the Economics of Financial Intermediaries, and a Ph.D. in Financial Economics from the University of Sheffield (UK). He has received formal training in model building, exchange rate forecasting, and risk management at the Claremont Economics Institute (United States), Wharton Econometrics (United States) and the Center for Monetary and Banking Studies (Switzerland). Before turning to academia in 1991, he worked as a financial analyst, a financial journalist, and an investment banker for over 10 years. He has also worked at the International Monetary Fund in Washington DC and acted as an advisor to the US Treasury. His work encompasses the areas of International Finance, Banking, Risk Management, Macroeconomics, and Applied Econometrics. His papers have appeared in the Journal of Applied Econometrics, Canadian Journal of Economics, IMF Staff Papers, Journal of Futures Markets, Quantitative Finance, Southern Economic Journal, American Journal of Agricultural Economics, Journal of Development Economics, Journal of Comparative Economics, Journal of Economic Organization and Behavior, and Journal of Banking and Finance. He has also written for the prestigious Euromoney Magazine. His recent books include Quantification of Operational Risk under Basel II: The Good, Bad and Ugly, The Myth of Too Big to Fail (both published by Palgrave in 2008 and 2009, respectively) and The US-China Trade Dispute: Facts, Figure and Myths, published by Edward Elgar in 2012. His recent book, Quantitative Easing as a Highway to Hyperinflation has been published by World Scientific.

Sae Woon Park is a professor of finance at the Changwon National University, Korea. He received his Ph.D. from MyungJI University, Seoul, Korea. His research topics focus mainly on Asian housing markets. He teaches real estate economics and finance, and serves as a Director of the CNU Central Library. He received his Ph.D. from MyungJI University, Korea He has written numerous papers on the Korean real estate market, including Price Run-up in Housing Markets, Access to Bank Lending and House Prices in Korea, published in Journal of Real Estate Finance and Economics. He was given an award in 2009 by the Korean newspaper Maekyung for his paper entitled The Value of Outside Directors: Evidence from Corporate Governance which was published in Journal of Financial and Quantitative Analysis.

Kok Fai Phoon is an associate professor of finance (education) and co-director of the M.Sc. in Applied Finance program at the Lee Kong Chian school of business, Singapore Management University. He holds a Ph.D. in finance from Northwestern University. He was executive director of Ferrell Asset Management and had also worked with Yamaichi Research Institute and the Government of Singapore Investment Corporation.

Valerio Potì worked as an option trader and was one of the 10 market makers on the Milan equity option market. He subsequently became the head of a relatively large financial engineering desk structuring financial products for retails customers and captive institutional investors. In the second part of his career, after gaining a Ph.D. in Finance and while keeping in touch with the financial industry in a consulting role, he moved to academia. He is now Senior Lecturer in Banking and Finance in University College Dublin, where he teaches risk modeling and portfolio management as well as corporate finance, and Adjunct Professor of Applied Econometrics at Cattolica University SC at Piacenza. Previously, he was Head of Economics, Finance and Entrepreneurship, and Director of the M.Sc. in Finance at Dublin City University, where he taught financial engineering and risk management, and lectured International Finance at Queen’s University Belfast. He also taught numerous courses in derivatives and financial engineering to industry professionals in post-experience executive programs in a number of other Universities. His research expertise includes models of financial volatility (e.g. multivariate GARCH), pricing and valuation, mutual and hedge fund performance attribution, equity and FX trading strategies, international finance, corporate finance. He is best known for his work on the 3-moment CAPM and, more recently, the role of risk capital flows in driving return predictability. His consulting activities include advising banks on risk and capital management and on value creation policies that link incentives to performance.

Gamini Premaratne holds a masters degree in Policy Economics (1992) and a Ph.D. degree in Econometrics (2001) from the University of Illinois at Urbana-Champaign. After graduation he accepted a faculty position in the Department of Economics at National University of Singapore (2001–2009). Currently he is holding a faculty position in the department of Economics at Universiti Brunei Darussalam. His research interests include volatility models, hypothesis testing, behavioral finance, and risk management. He has published locally and internationally refereed journals and book chapters including Journal of Financial Econometrics and Journal of Statistical Planning and Inference. He has supervised, co-supervised, and served on the advisory and examination committees of a number of M.Sc. and Ph.D. students.

François-Éric Racicot, Ph.D., is an associate professor of finance at the Telfer School of Management, University of Ottawa. His research interests focus on the problems of measurement errors, specification errors, and endogeneity in financial models of returns. He is also interested in developing new methods used for forecasting financial time series—especially hedge fund risk. He has published several books and many articles in quantitative finance and financial econometrics.

Vikash Ramiah is currently an Associate Professor of Finance at RMIT University. He has a Diploma of Management, B.Sc. (Hons) Economics, Master of Finance program, and Doctor of Philosophy from RMIT University. He has received numerous awards for outstanding performance in teaching and supervision. He taught economics and finance courses at RMIT, University of Melbourne, La Trobe University, and Australian Catholic University since 1999. He has published in academic journals (e.g. Journal of Banking and Finance, Journal of Behavioral Finance, Applied Economics, Pacific Basin Finance Journal and Journal of International Financial Market, Institution and Money), industry reports, one book, book chapters, and over 35 conference papers. He supervises numerous Ph.D. students and regularly attracts research funding. He is an expert reviewer for 13 finance journals and for the Mauritius Research Council. He serves on the editorial board of two finance journals. He was an elected board member of the RMIT University Business Board, program Director of Open Universities Australia, and acting Board member at the Australian Centre for Financial Studies. He was as a junior auditor at H&A Consultant, manager at Intergate PTY Limited, quantitative analyst at ANZ, Investment Banking Division, provided consultancy services to the Australian Stock Exchange and worked in collaboration with the Finance and Treasury Association of Australia and the Australian Centre for Financial Studies. His research areas are financial markets, behavioral finance, and environmental finance.

Roland K. Roberts is a Professor in the Department of Agricultural Economics at the University of Tennessee, Knoxville. His main research interests include agricultural production economics, agricultural policy analysis, and farm management. He received a BS in Economics and an MS in Agricultural Economics, both from Utah State University. After receiving his Ph.D. in Agricultural Economics from Iowa State University, he was employed by the University of Hawaii at Manoa. He joined the University of Tennessee faculty in 1984. He has concentrated on analyzing agricultural production and management practices that reduce the environmental effects of production agriculture while maintaining or improving profits for farmers.

Gerasimos G. Rompotis is an Assistant Audit Manager at International Certified and Registered Auditors (ICRA) Greece and also a Ph.D. Candidate at the Faculty of Economics of the National and Kapodistrian University of Athens. His main areas of research cover the evaluation of mutual fund managers’ selection and market timing skills, the performance of exchange-traded funds, calendar effects on the performance and volatility of equity investments, intervaling effects on the systematic risk of ETFs, and the new types of ETF products such as leveraged and actively managed ETFs. His work has been published in a number of industry journals such as the Journal of Index Investing, the Journal of Alternative Investments, the Journal of Asset Management, and the Guide to Exchange Traded Funds and Indexing Innovations issued by Institutional Investor, including the European conferences.

Ee Seng Seah graduated with a Master of Science in Wealth Management from Singapore Management University. He works in HSBC Private Bank and has over 3 years of banking experience. Prior to joining HSBC, he was with the Development Bank of Singapore where he won several in-house awards for excellence in consumer banking.

Abhay K. Singh is a Btech graduate with an MBA in finance from the Indian Institute of Information Technology, Gwalior, India and a Ph.D. in finance from Edith Cowan University in Western Australia. He currently works as a Post-Doctoral Fellow in the School of Business at Edith Cowan University.

Yanlin Shi is currently a Ph.D. candidate in Statistics at the Research School of Finance, Actuarial Studies, and Applied Statistics in the Australian National University (ANU). His dissertation focuses on volatility modeling of high-frequency time series. He has published an article in the Thomson Reuters SSCI journal North American Journal of Economics and Finance, and presented papers at several international conferences, such as the 19th International Congress on Modeling and Simulation, of which the conference proceedings are included in the Thomson Reuters CPCI. He received two Master’s degrees from ANU in the fields of Applied Statistics and Business with the highest distinction. In 2009 and 2010, he was awarded the ANU Chancellor’s Letters of Commendation for Outstanding Academic Achievements.

Russell Smyth is a Professor and Head of the Department of Economics Monash Univeristy, Australia. He has published approximately 300 book chapters and journal articles in the fields of economics, law, and political science. His research interests encompass Asian economies, Chinese economic reform and financial economics, among others. From 1998 to 2008 he was Editor of Economic Papers, the policy journal of the Economic Society of Australia and was a member of the Central Council of the Economic Society of Australia. In 2008 he received the Honorary Fellow Award of the Economic Society of Australia. He is currently an Associate Editor of Energy Economics and a member of seven editorial boards. There are 3600 citations to his research on Google Scholar.

Michael Skully holds the Chair of Banking at Monash University. He is a Senior Fellow and director of the Financial Services Institute of Australasia as well as a trustee director of UniSuper Limited. He teaches and has published widely in the areas of financial institutions and corporate finance both in respect to Australia and the Asia Pacific region.

Masayuki Susai is full Professor of International Finance at the Faculty of Economics, Nagasaki University and Vice President of Nagasaki University, Japan. He graduated from the Graduate School of Commerce, Waseda University, and obtained an MA from Waseda University. His interests focus on international finance, including market microstructure in international financial markets, intervention in foreign exchange markets, and foreign exchange risk. He has edited two books, Empirical Study on Asian Financial Markets (Kyushu University Press) and Studies on Financial Markets in East Asia (World Scientific Publication). His recently published articles appear in the Proceedings of the Institute of Statistical Mathematics and Annals of the Society for the Economic Studies of Securities.

Brian S. Sutedja is currently working at PT XL Axiata Tbk in Jakarta, Indonesia as a Corporate Strategy Analyst. He holds a Bachelor of Economics degree majoring in Accounting from Universitas Indonesia and a Master of Business Administration degree majoring in Applied Finance and Investment from the Graduate School of Business, Universiti Kebangsaan Malaysia. Brian was the recipient of the prestigious Khazanah Nasional scholarship for 2011–2012.

Michael Syn is Head of Derivatives at Singapore Exchange (SGX). He has responsibility for SGX’s global trading and clearing platforms, including both financial and commodity derivatives. He graduated MA and Ph.D. from the University of Cambridge.

Raymond Théoret, Ph.D., is a full professor of finance at École des sciences de la Gestion, University of Quebec—Montreal (UQAM). His research focuses on banking systemic risk and hedge fund risk. He has published numerous books in asset pricing and many articles in the banking and hedge fund areas in well-known journals.

Christopher Ting is an associate professor of Quantitative Finance Practice at the Lee Kong Chian School of Business, Singapore Management University. He earned his bachelor degree in mechanical engineering and master degree in physics from the University of Tokyo on Japanese Government scholarships. His Ph.D. is in theoretical physics from the National University of Singapore. Currently, he serves as the area coordinator of Quantitative Finance group and the director of Master of Science in Quantitative Finance Programme.

John Vaz is the program director for banking and finance at Monash University. He holds an MBA and a Ph.D. in Finance. He has a broad range of industry experience in general management and Finance in the IT and T sector, having held Managing Director and executive director roles in medium and large enterprises. His research interests include interest rate change impacts on stock prices, managed fund performance, and the profitability of carry trade. He also has a keen interest in progressing finance mathematical models.

Dengli Wang works at AVIC Securities in Beijing, where he is in charge of the Department of Alternative Investments, and mainly focuses on quantitative trading strategies using index futures and commodities futures that trade on the Chinese derivatives market. Before moving to the industry, Dengli was associate professor at the Business School of Southeast University and taught financial theory at the University College Dublin. He obtained his Ph.D. in Finance from Dublin City University in Ireland.

Wanying Wang is pursuing her Ph.D. in Division of Economic, NTU under the supervision of Huang Weihong. She is co-authoring a series of studies on technical analysis modeling by nonlinear economic dynamics with Professor Huang Weihong.

John Watson works in the Department of Accounting and Finance at Monash University as a Senior Lecturer. John previously worked as a senior teaching fellow at Otago University (2000–2002). Having completed his Ph.D. Issues in Managed Funds: Australian Evidence in late 2010, he has now commenced researching in the area of superannuation, pension plans, and has a special interest in operations research.

Wing-Keung Wong is Professor of Economics in the Department of Economics at Hong Kong Baptist University. He obtained his Ph.D. from the University of Wisconsin-Madison. He is on the list of top Hong Kong economists, Asian economists, and in the top 9% of authors by RePEc. He has published over 100 research papers and books and served in the capacity of editor, associate editor, or member of the advisory board for numerous journals and conferences.

Noor Azuddin Yakob is an Associate Professor of Finance at the Graduate School of Business, Universiti Kebangsaan Malaysia. He was the visiting research scholar at the Centre of Australian Financial Institutions, University of Southern Queensland. He was also the visiting lecturer at the Tashkent State Technical University, Uzbekistan and University of Science and Technology in Sana’s, Yemen. His teaching and research interests are in the areas of Managerial Finance, Corporate Finance, Financial Markets and Institutions, Financial Statement Analysis, and Investment Analysis and Portfolio Management.

Yushi Yoshida is a Full Professor of Economics at the Faculty of Economics of Shiga University in Japan. Before joining Shiga University, he was Full Professor of Economics at Kyushu Sangyo University. He obtained his MA and Ph.D. in Economics from Osaka University. His research interests lie in the area of international finance, including exchange rate pass-through, foreign exchange intervention, and international financial transmission. He has also written on empirical international trade, including intraindustry trade and extensive margin of exports. His recently published articles appear in the Asia Pacific Business Review, IMF Staff Papers, International Review of Economics and Finance, North American Journal of Economics and Finance, and World Economy. He is a Pass-through Research Group researcher at Research Institute of Economics, Trade, and Industry (RIETI).

Zhaoyong Zhang obtained his Ph.D. in economics from the Catholic University of Leuven (Belgium) in 1991. He is currently an Associate Professor of Economics and Deputy Director of FEMARC at Edith Cowan University (ECU) in Australia. Previously, he was Professor of Economics at NUCB Graduate School of Commerce and Business in Japan, and Associate Professor and Director of CSTE at National University of Singapore (NUS). He held several visiting professorship positions at ECU, Yokohama National University (YNU), ICSEAD (Japan) and KIEP (Korea), and was also a visiting fellow/adjunct (Associate) Professor at University of Western Australia, University of South Australia, University of Macau as well as several universities in China. He also held several consulting positions with international institutions including OECD, IDRC and Hanns Seidel Foundation (Germany). He has been included in the 2000 Outstanding Intellectuals in the 21st Century by Cambridge International Biographical Centre in 2008; and also in Who’s Who in the World in 2007–2012. His major research interests are International Trade and Finance, East Asian Financial Crisis, East Asia Monetary and Economic Integration, Foreign Exchange Policy and Reform in China. He has published one book manuscript, 26 books chapters, and 46 articles in international journals, as well as co-edited four special issues for the international journals including Papers in Regional Science published in 2003 and The World Economy in 2006 and 2012, respectively.

Acknowledgments

We would like to thank all the contributors and many others who expressed interest in this project one way or another. We would like to thank the handful of anonymous referees that helped in selecting the papers for this book. We thank Dr. J. Scott Bentley, Melissa Murray, and Jason Mitchell at Elsevier for their suggestions and continuing support throughout this process.

In addition we would like to thank both the President of Barclay Hedge (http://www.barlcayhedge.com) Sol Waksman and Beto Carminhato (IT manager) for providing hedge fund data as well as helpful comments and suggestions. Furthermore, we thank Finance Professor Maher Kooli the Head of the CDPQ Chair in Portfolio Management at the University of Quebec at Montreal for his helpful suggestions. Finally, we thank Evestment (http://www.evestment.com) for their database and PerTrac software.

We would also like to express our appreciation to our respective universities, namely, Singapore Management University and State University of New York (Plattsburgh). In particular, the President, the Provost and the Deans for their strong support. We thank Lim Chee Onn, Chairman of the Sim Kee Boon Institute for Financial Economics and the Advisory Board for their strong support. We thank Dr. Stephen Riady, Magnus Bocker, and Raymond Lim for their constant support. PhD supervisor Peter Robinson is a source of constant inspiration and role model for David Lee Kuo Chuen for this project even though he has graduated for more than 23 years. Colleagues at the Lee Kong China School of business especially Wolfgang Karl Härdle, Francis Koh, Benedict Koh, Lim Kian Guan, Christopher Ting, and Kok Fai Phoon are always supportive and instrumental in David Lee Kuo Chuen’s research. We would like to express our appreciation to Colin James Tan for his assistance in research during his examination. Our colleagues at Ferrell Group of Companies were always in the background assisting and remained invisible. Of course, we would never forget the support of family members. Last but not least, to thank God for His plan in arranging the meeting of minds of the two editors for a meaningful project.

Introductory Chapter

Asia Finance: The Emergence of Asia Economy and New Development in Finance

David Lee Kuo Chuena and Greg N. Gregorioub

aSingapore Management University, Lee Kong Chian School of Business, 50 Stamford Road, Singapore 178899, Singapore

bState University of New York (Plattsburgh), 101 Broad Street, Plattsburgh, NY 129 01, USA

This Handbook of Asian Finance provides an overview of the diverse financial developments in Asia that are of interest to both practitioners and academics. The Asian economies and related financial sectors have both shown great resilience and have undergone significant transformation over the last two decades. These economies have recovered miraculously from the 1997 Asian Crisis. In the decade spanning the years 2000–2010, the total GDP of eight East Asian economies (China, Hong Kong SAR, Indonesia, Malaysia, South Korea, Philippines, Singapore, and Thailand) has more than doubled in size. Economic growth has attained an even higher plateau when compared with the pre-crisis level and has allowed many Asian economies to build substantial foreign reserves, providing buffers against the vagaries of the global environment.

Problems and issues associated with Asian finance and banks are not of particular interest to many academic journals. The main reason is that these issues are deemed to be only specific and relevant to financial institutions operating in Asia. As trade, foreign exchange and other transactions and income from Asia increase over time, many global financial institutions and especially banks are likely to increase their participation in the Asian financial sector along with a greater share of profits from the Asian operations. By then, these Asian centric issues will be of great interest to the global financial industry. Another often cited reason is the lack of reliable data. However, with higher volume of transactions, more reliable maintenance of historical records, which were both not available previously, there is now scope for more meaningful empirical analysis and discussions.

There is always an overwhelming response of researchers to the idea of a project on Asia finance. We are not surprised that we have gathered many expert practitioners and respected academics that supported our work on Asia. While we are appreciative of the support, we had a tight timeline and we were not able to accommodate many who were interested in participating. We hope to initiate further projects in specialized topics in Asia finance in the near future. As a consequence of the excellent response, we have edited two volumes consisting of 20 chapters in the Volume 1 and 24 chapters in Volume 2. We have given a summary of the chapters below.

REITs

In a low interest rate environment due to excess liquidity created by quantitative easing since the Global Financial Crisis, alternative assets including real estate products, real estate investment trusts (REITs), and real estate investment and operating companies, hedge funds, and direct investment have been very much in the limelight. Many such alternative products were almost non-existent before the Asian Crisis, especially alternative investments in real estate. Prices of real estate have appreciated sharply in Asian financial centers and in many urban cities, supported and exacerbated by buying by both local and foreign investors that has resulted in the interest of academic researchers and the concern of governments, regulator, and indeed the populace. It is no coincidence that we have six chapters of the book dedicated to Asian real estate, specifically to the study of REITs and real estate prices. Literature broadening the scope and depth of studies of Asian real estate is expected to continue and will even accelerate reflecting the importance of Asian real estate in global investment portfolios and the much talked about Asians’ culture of preference for physical properties.

Trading

A new phenomenon that has emerged globally and more recently in Asia, is the active participation of high frequency traders, algorithm trading, and trading in Exchange Traded Funds (ETFs). With technological innovation, we have seen increased speed of capital flow and increased trading volume both across Asia and in inter-regionally. Latency has become a buzz word and is used to describe an important concept that participants in financial markets must understand. In search for better short-term performance, many traders need to ensure trades on the exchanges are executed rapidly to take advantage of short-lived profit opportunities. The long-term strategy of adhering to beta risk has also become more important in Asia, driving the development of the ETFs market. We have included 10 chapters in the book on the topics of High-Frequency Trading (HFT) and ETFs, demonstrating the importance and relevance of this phenomenon, especially to practitioners.

Fund Performance

An area of high growth has been the fund management industry in Asia, driven mainly by the significant new wealth creation. In the early 2000s, the hedge fund industry grew rapidly in Asia. Subsequently, the real estate fund management industry underwent a catch-up providing rapid growth in the late 2000s. Performance of hedge funds, mutual funds, and real estate funds in Asia remain an exciting area of research. Going forward, expected growing retirement needs brought about by low fertility and an aging population in many Asian countries will lead to more research in pension funds and pension management. To put it into perspective, the size of hedge funds under management is still small compared to the UK and US. While Hong Kong and Singapore have assets under management (AUM) of over USD1 trillion, the AUM in the UK and the US are at least 6 and 25 times larger respectively. While mutual fund’s AUM in the UK and the US are closer to USD1 trillion and USD11 trillion respectively, Hong Kong and Singapore’s AUMs are only 7% and 3% of that of the UK’s. Given that high net worth (HNWI) individuals (defined as those having investable assets of USD1 million or more) are growing at more than 5% a year on average in Asia, the AUM will also rise in tandem. It is projected that HNWI individuals will double in 2020 from 2 million in 2010. The size of wealth will increase from USD4.2 trillion to USD14 trillion. Fund management will remain a very important growth area in Asia and we have eight chapters devoted to the discussion of this area, with emphasis on performance.

Summary of Individual Chapters in Volume II

In Chapter 1, Alain Coën and Aurélie Desfleurs analyze the accuracy and the quality of analysts’ forecast for Asian Pacific Real Estate Investment Trusts (REITs), and Asian real estate companies. Using data from 2001 to 2012 from China, Hong Kong, India, Indonesia, Japan, Malaysia, Philippines, Singapore, Taiwan, and Thailand, they conclude that there were sharp contrasts among the markets in the ability of financial analysts to forecast earnings. An interesting finding is that financial analysts are more pessimistic in this sector and analysts faced great difficulties obtaining accurate forecasts before and after the global financial crisis.

In Chapter 2, Lucia Gibilaro and Gianluca Mattarocci note the tendency of REIT managers to be home biased and focused on domestic investments. Using data from 2003 to 2013, their results show that home bias is significant for Asian REITs. More interestingly, having a higher concentration of home country assets in the portfolio generally maximized average returns, and the probability of positive and abnormal performance.

In Chapter 3, Francis Koh, David Lee Kuo Chuen, Kok Fai Phoon, and Ee Seng Seah present an overview on the development of Singapore Real Estate Investment Trusts (S-REITs). The authors provide insights into the risk and return performance and growth potential of these REITs. With 25 REITS, Singapore has become one of the leading REIT markets in the world and ranked second only behind Japan in Asia. Given that 80% of the residential markets are in public housing and the sector is not represented in the REIT sector, the authors postulate that there would likely be development of residential REITs in the near to medium term after the current run up in prices stabilized.

In Chapter 4, Alain Coën and Patrick Lecomte analyze Asian REITs performance before and after the sub-prime crisis. With Asian REITs accounting for 12% of the global REIT market and a capitalization of over USD118 billion as at end 2012, it has become an important asset class where great attention is paid to risk-adjusted performance measurement. Using a maximum sample size of 206 REITs from Australia, Hong Kong, Japan, Malaysia, New Zealand, Singapore, South Korea, Taiwan, and Thailand for the period 2005 to 2013, the authors conclude that returns series tend to exhibit illiquidity risk and suggest an unsmoothing method for the returns to estimate the performance.

In Chapter 5, Juliana Caicedo-Llano and Enareta Kurtbegu apply a new bootstrap technique to analyze the performance of Asian REITs. As returns do not behave statistically, constructing a portfolio with high performance requires a non-standard technique. Using data from 1973 to 2012 with 72 REITs from Japan, Singapore, Malaysia, Hong Kong, Thailand, and Taiwan, they conclude that it is possible to construct portfolios of REITs with interesting risk and return features.

In Chapter 6, Seonghoon Cho, Roland K. Roberts, Taeyoung Kim, Sae Woon Park, and Heeho Kim demonstrate that the preferences for housing structural attributes such as age, size, and number of floors did not differ across the quantiles of price distribution, where as premium attributes such