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https://scholarbank.nus.edu.sg/handle/10635/221892
DC Field | Value | |
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dc.title | EXAMINING THE MARKET EFFICIENCY OF S-REITS THROUGH BINOMIAL OPTION PRICING | |
dc.contributor.author | TAY SHEA JEAN | |
dc.date.accessioned | 2014-05-06T08:38:07Z | |
dc.date.accessioned | 2022-04-22T17:51:23Z | |
dc.date.available | 2019-09-26T14:14:03Z | |
dc.date.available | 2022-04-22T17:51:23Z | |
dc.date.issued | 2014-05-06 | |
dc.identifier.citation | TAY SHEA JEAN (2014-05-06). EXAMINING THE MARKET EFFICIENCY OF S-REITS THROUGH BINOMIAL OPTION PRICING. ScholarBank@NUS Repository. | |
dc.identifier.uri | https://scholarbank.nus.edu.sg/handle/10635/221892 | |
dc.description.abstract | This study looks at risk-neutral and non-risk-neutral pricing of Singapore real estate investment trusts (S-REITs) via comparing the average of the individual (Deviation between expected and observed closing price/Observed closing price) ratios with the (Standard Deviation/Mean) ratio of the closing prices themselves, with the help of the Binomial Options Pricing model. If the (Standard Deviation/Mean) ratio is greater than or equal to the (Deviation between expected and observed closing price/Observed closing price) ratio, then the deviation of closing prices from the expected risk-neutral prices is not significant and the S-REIT is consistent with risk-neutral pricing. If the (Deviation between expected and observed closing price/Observed closing price) ratio is greater, then the S-REIT is not consistent with risk-neutral pricing. Capitacommercial Trust, Capitamall Trust and Keppel REIT have large positive differences between the two ratios (39.86%, 30.79% and 18.96% respectively), implying that these S-REITs are not trading at risk- neutral pricing. Suntec REIT has a small positive difference of 2.35% between both ratios, implying that it is trading at risk-neutral pricing. Ascendas REIT has the largest negative difference between the two ratios at -4.24%, followed by Mapletree Logistics Trust at -0.44%. It is discerned that both these S- REITs are trading at risk-neutral pricing. Further analysis of the average of (o- e) values show that Capitacommercial Trust, Capitamall Trust and Keppel REIT exhibit risk-averse pricing. Results are consistent with prudential asset allocation for viable S-REIT portfolio investing but not all these S-REITs exhibit strong market efficiency in their pricing. Pricing may be risk-neutral over a certain period but investor or market sentiments, the fear of risks and speculative activities could still affect an S-REIT’s risk neutrality. With enhanced risk diversification measures, it should be possible for S-REITs to achieve risk-neutral pricing. It boils down to the amount of risk exposure and how much confidence investors have in the S-REIT portfolio and returns. | |
dc.language.iso | en | |
dc.source | https://lib.sde.nus.edu.sg/dspace/handle/sde/2528 | |
dc.subject | Real Estate | |
dc.subject | 2013/2014 RE | |
dc.subject | RE | |
dc.subject | Ho Kim Hin David | |
dc.type | Dissertation | |
dc.contributor.department | REAL ESTATE | |
dc.contributor.supervisor | HO KIM HIN DAVID | |
dc.description.degree | Bachelor's | |
dc.description.degreeconferred | BACHELOR OF SCIENCE (REAL ESTATE) | |
dc.embargo.terms | 2014-06-03 | |
Appears in Collections: | Bachelor's Theses |
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Tay Shea Jean 2013-2014.pdf | 5.57 MB | Adobe PDF | RESTRICTED | None | Log In |
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