Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220398
Title: ANALYSIS ON HOW REIT DIVESTMENT AFFECTS STOCK PRICE PERFORMANCE: ANALYSIS ON S-REITS AND US-REITS
Authors: LEE YI HANG ETHAN
Keywords: Real Estate
Fan Yi
RE
2019-2020 RE
Issue Date: 28-May-2020
Citation: LEE YI HANG ETHAN (2020-05-28). ANALYSIS ON HOW REIT DIVESTMENT AFFECTS STOCK PRICE PERFORMANCE: ANALYSIS ON S-REITS AND US-REITS. ScholarBank@NUS Repository.
Abstract: This paper examines the effects of divestment announcements made by Real Estate Investment Trusts (REITs) on shareholder wealth, as measured by abnormal returns. It also analyses the key determinants of abnormal returns. This research hopes to extend upon research conducted on asset divestment onto the scope of REIT property divestment and extend upon studies conducted on US-REITs onto S-REITs. This study focuses on the effects of divestment across various REIT industry sectors as differing trends were observed when analysing metrics such as average abnormal returns and cumulative average abnormal returns. A sample of 120 divestments, spanning from 2010 to 2019, conducted by 42 REITs publicly traded in Singapore and the United States were examined. A single index model event study was used to quantify abnormal returns. Multivariate regression was then conducted on explanatory variables to identify the significant factors of abnormal returns. The empirical findings indicate that there were positive abnormal returns surrounding a 3- day, 6-day and 9-day event window for both S-REITs and US-REITs, with US-REITs experiencing a greater magnitude of abnormal returns. The analysis found that abnormal returns were quantified at 0.27% and 0.48% for S-REITs and US-REITs respectively. A multivariate analysis was conducted which found that aggregate leverage and sales premium not statistically significant in explaining abnormal returns and were inconsistent across several models. The statistically significant explanatory variable was geographical location, which indicates that divestments where REITs are divesting assets located in the same country, they are listed on experience positive abnormal returns, and this is statistically significant.
URI: https://scholarbank.nus.edu.sg/handle/10635/220398
Appears in Collections:Bachelor's Theses

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