Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220839
Title: THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON RISK-RETURN PROFILES OF U.S. EQUITY REITS
Authors: FONG MIN KRISTEN
Keywords: Liow Kim Hiang
RE
Real Estate
2018-2019 RE
Issue Date: 14-May-2019
Citation: FONG MIN KRISTEN (2019-05-14). THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON RISK-RETURN PROFILES OF U.S. EQUITY REITS. ScholarBank@NUS Repository.
Abstract: The purpose of this study is to assess how the Global Financial Crisis (GFC) has impacted US equity Real Estate Investment Trust (REITs) in terms of return, risk and risk adjusted return, on the index and firm level. The methodology of this empirical study includes mean analysis, quartile analysis, student’s t-test, ranking analysis, regression and correlation analysis. It compares the difference in return, variance, Jensen’s alpha, beta, Treynor Index and Sharpe Ratio across the REIT market of 95 REITs and between sub-sectors for two periods: pre-GFC (2004-2007) and post GFC (2008-2011). On average, REITs had lower returns, increased risk and lower risk-adjusted returns. We find healthcare to be the least negatively impacted by the GFC and Office to be the most negatively affected. The last section determines if there is a correlation between debt ratio and overall desirability and between market capitalisation and overall desirability as Zarebski (2009) and Case (2008) and strongly attributes the extent GFC impacts to those two firm level factors. After conducting a regression analysis, we find that there is little to no correlation between both factors and the desirability scores of firms. Correlation coefficients was higher although still low when tested with the changes of individual performance indicators. The results of this study provides useful lessons for investors who forecast an impending financial market downturn, and are able to carefully select the REITs they want to include or remove from their portfolio with quantitative analysis and descriptive statistics in order to maximise risk-adjusted returns.
URI: https://scholarbank.nus.edu.sg/handle/10635/220839
Appears in Collections:Bachelor's Theses

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