Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221469
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dc.titleDO REIT RETURNS BEHAVE DIFFERENTLY UNDER DIFFERENT ECONOMIC CONDITIONS?
dc.contributor.authorCHONG KAH HSIUNG
dc.date.accessioned2010-11-12T11:32:41Z
dc.date.accessioned2022-04-22T17:39:11Z
dc.date.available2019-09-26T14:14:00Z
dc.date.available2022-04-22T17:39:11Z
dc.date.issued2010-11-12
dc.identifier.citationCHONG KAH HSIUNG (2010-11-12). DO REIT RETURNS BEHAVE DIFFERENTLY UNDER DIFFERENT ECONOMIC CONDITIONS?. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/221469
dc.description.abstractThis paper aims to investigate the relationship between REIT returns and macroeconomic variables including stock returns, interest rate change and real economic activity in different economic conditions. Macroeconomic variables undertake “orthogonalization” and linear regression is conducted. This study covers a 10-year study period between January 2000 and December 2009. The author extends to examine benefits of diversification in REITs by property type. Empirical result shows presence of strong relationship between REIT returns and both big capitalization stocks returns and small capitalization stock returns across different economic cycles. Interest rate shows rather moderate link with REIT returns. Real economic activity is weak and remote with regards to REIT returns. Increase in systematic risk of REITs is detected especially in recent period. Diversified REITs deliver limited benefits of lower idiosyncratic risk as compared to specialized REITs.
dc.language.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/1296
dc.subjectReal Estate
dc.subjectLiow Kim Hiang
dc.subject2010/2011 RE
dc.subjectMacroeconomic variables
dc.subjectREIT returns
dc.subjectVariance composition
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorLIOW KIM HIANG
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
dc.embargo.terms2010-12-30
Appears in Collections:Bachelor's Theses

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