Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221219
Title: IS LIQUIDITY PRICED IN ASIAN REITS?
Authors: POON QUIN KONG
Keywords: Real Estate
Issue Date: 28-May-2009
Citation: POON QUIN KONG (2009-05-28T10:25:28Z). IS LIQUIDITY PRICED IN ASIAN REITS?. ScholarBank@NUS Repository.
Abstract: This paper shows that illiquidity risk is priced in Asian REITs. The measure used is an illiquidity ratio which gives the percentage change in price per dollar volume flow. This gives a simple and easy measure of illiquidity given the constraints of this paper. Other than illiquidity risk, the size, volatility, and dividend yield of the REIT is also priced. The volatility risk in the form of the standard deviation of returns however, is unexpectedly negative, possibly due to the focus of REITs to produce a steady yield in the form of dividends. Hence the volatility of the stock price does not affect the returns. This paper also found that there may be some link between illiquidity and certain factors like size, debt ratio and diversification. However, the links are tentative at best given the multiple constraints while conducting this study. We attempt to find the risk premium but obtained a negative risk premia for the majority of the factors mentioned above. These results may have been due to empirical issues including a small sample size, insufficient microstructure data, the presence of noise through small cap REITs and Large cap REITs with a small free float.
URI: https://scholarbank.nus.edu.sg/handle/10635/221219
Appears in Collections:Bachelor's Theses

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