Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220824
Title: REGIONAL AND GLOBAL FACTORS AFFECTING PERFORMANCE OF REIT
Authors: CHIA ZONG RONG
Keywords: Real Estate
Sing Tien Foo
2011/2012 RE
Correlation
Financial crisis
Global and regional factors
REIT
Issue Date: 14-Nov-2011
Citation: CHIA ZONG RONG (2011-11-14). REGIONAL AND GLOBAL FACTORS AFFECTING PERFORMANCE OF REIT. ScholarBank@NUS Repository.
Abstract: This study examines the regional and global factors affecting REIT performance during the period of 2001 – 2010. Using weekly data of REITs listed on stock exchanges in the three regions of United States, Europe and Asia-Pacific, two empirical tests using univariate method (ANOVA) and multivariate model (pooled linear regressions) were conducted. The REIT phenomenal growth in Asia Pacific and Europe markets prior to the global financial crisis in 2007-08 motivates the study. This study seeks to address questions relating to the effects of the regional and global factors on performance of REITs in these three regions. The ANOVA tests revealed that REIT correlations with the regional and global indices account for significant variations in the mean values of controlled variables that include market capitalization, debt/asset ratio and price/book ratio. REIT correlations with the regional and global indices, however, were found to be insignificant in explaining variations in the means values of returns. The findings from the pooled linear regressions conclude that fundamental variables like market cap, price/book and debt/asset ratio have limited impacts on REIT returns. Correlations were also found to have different effects on REIT returns during crisis period and pre-crisis period among the three regional markets. The second pooled linear regression model found that systematic risks (beta) can be explained by both regional and global factors. The results also showed that regional factors play an important role in affecting the performance of REITs. Key words: REIT, correlation, global and regional factors, financial crisis
URI: https://scholarbank.nus.edu.sg/handle/10635/220824
Appears in Collections:Bachelor's Theses

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