Testing the dividend-ratio model on real estate assets

C. Y. Yiu, Chi Man Hui

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)


Campbell and Shiller's (1988) dividend-ratio model has long been adopted in various asset markets. It improves previous methods by incorporating time-varying discount rates theoretically. However, it is rarely applied to real estate markets, nor has its validity been tested on real estate assets. This paper uses the dividend-ratio model to examine the long-term relationship between the market capitalization rate and the growth-adjusted discount rate in the housing markets in Hong Kong. The empirical results show a significant and positive long-term relationship between these two series, which provides evidence that cap rate can reflect the market conditions in the long run and that a dynamic discounting model can help predict long-term cap rate.
Original languageEnglish
Pages (from-to)19-35
Number of pages17
JournalJournal of Real Estate Practice and Education
Issue number1
Publication statusPublished - 21 Nov 2006

ASJC Scopus subject areas

  • Education
  • Economics, Econometrics and Finance (miscellaneous)


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