Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220579
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dc.titleSENSITIVITY TO MACROECONOMIC FACTORS AND DEFENSIVENESS OF SINGAPORE REITS BEFORE, DURING AND AFTER THE SUBPRIME CRISIS
dc.contributor.authorNGUYEN SI NHAT
dc.date.accessioned2011-04-19T06:36:15Z
dc.date.accessioned2022-04-22T17:12:44Z
dc.date.available2019-09-26T14:13:56Z
dc.date.available2022-04-22T17:12:44Z
dc.date.issued2011-04-19
dc.identifier.citationNGUYEN SI NHAT (2011-04-19). SENSITIVITY TO MACROECONOMIC FACTORS AND DEFENSIVENESS OF SINGAPORE REITS BEFORE, DURING AND AFTER THE SUBPRIME CRISIS. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/220579
dc.description.abstractThis dissertation investigates the sensitivity of Singapore real estate investment trusts (S-REITs) to important macroeconomic factors before, during and after the subprime crisis. Regression analysis based on monthly return of 9 S-REITs during the January 2003 – December 2010 period suggests that S-REITs do not possess the ability to hedge against the unfavourable effects triggered by the subprime crisis, namely the decline of Gross Domestic Product growth rate, the decline of Straits Times Index growth rate and the increase in inflation rate. Furthermore, this dissertation also tracks the movement of S-REITs defensiveness throughout the same 8-year period by using the β concept from the Capital Asset Pricing Model. Several econometric regressions involving the use of dummy variables as an alternative to the Chow test have been conducted to determine β , a measure of S-REITs defensiveness. The results suggest that S-REITs become less defensive during and after the subprime crisis than before. More specifically, the study shows that during and after the subprime crisis, industrial and retail S-REITs are more defensive than S-REITs of other sectors. This finding paves the way for future research into the risks and defensiveness of specialized and diversified S-REITs, an important issue given that the Singapore’s REIT industry is expected to expand significantly in the future.
dc.language.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/1493
dc.subjectReal Estate
dc.subjectCheng Fook Jam
dc.subject2010/2011 RE
dc.subjectCAPM
dc.subjectConcept
dc.subjectDefensive assets
dc.subjectDummy variable in econometric regression model
dc.subjectMacroeconomic factors
dc.subjectS-REITs
dc.subjectSubprime crisis
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorCHENG FOOK JAM
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
dc.embargo.terms2011-06-01
Appears in Collections:Bachelor's Theses

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