Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/147639
Title: INFORMATION DIFFUSION AND ASSET PRICING: EVIDENCE FROM THE SINGAPORE PROPERTY MARKET
Authors: CHOO WEN YEN
Issue Date: 2012
Citation: CHOO WEN YEN (2012). INFORMATION DIFFUSION AND ASSET PRICING: EVIDENCE FROM THE SINGAPORE PROPERTY MARKET. ScholarBank@NUS Repository.
Abstract: Previous studies of the gradual information diffusion model have focused mainly on studying the predictability of an asset’s price using an asset’s own past performance. In this paper, I was able to provide evidence supporting cross-predictability across different assets. Using data from the Singapore condominium market, I find that the presale market plays a leading role for the spot market. Many studies have also put forth the argument that momentum traders act to destabilize markets by causing a price overshooting followed by a subsequent reversal. However, I was unable to find any evidence supporting the hypothesis that momentum investors also have destabilizing effects across assets. Instead I find that the large developers are a potential source of instability across assets in the Singapore condominium market.
URI: http://scholarbank.nus.edu.sg/handle/10635/147639
Appears in Collections:Bachelor's Theses

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