Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221892
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dc.titleEXAMINING THE MARKET EFFICIENCY OF S-REITS THROUGH BINOMIAL OPTION PRICING
dc.contributor.authorTAY SHEA JEAN
dc.date.accessioned2014-05-06T08:38:07Z
dc.date.accessioned2022-04-22T17:51:23Z
dc.date.available2019-09-26T14:14:03Z
dc.date.available2022-04-22T17:51:23Z
dc.date.issued2014-05-06
dc.identifier.citationTAY SHEA JEAN (2014-05-06). EXAMINING THE MARKET EFFICIENCY OF S-REITS THROUGH BINOMIAL OPTION PRICING. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/221892
dc.description.abstractThis 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.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/2528
dc.subjectReal Estate
dc.subject2013/2014 RE
dc.subjectRE
dc.subjectHo Kim Hin David
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorHO KIM HIN DAVID
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
dc.embargo.terms2014-06-03
Appears in Collections:Bachelor's Theses

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