Abstract
Executive Summary. Previous studies (Tse and Webb, 2000) have found mixed evidence for the role of the expected growth rate in real estate prices for explaining ex post real estate stock prices. This study demonstrates that the change in real estate stock prices is affected by both expected and unexpected changes in real estate prices where real estate price expectations are formed adaptively. The model presented in this study explains very well the real estate stock prices in Hong Kong for the period 1984-1998. This study indicates that both the expected and unexpected changes in residential, office and industrial real estate prices are important determinants of the change in real estate securities prices for Hong Kong.
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