Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221921
Title: BEHAVIOUR AND DYNAMICS OF NET ASSET VALUE DISCOUNTS IN ASIAN SECURITISED REAL ESTATE MARKETS: JAPAN AND SINGAPORE
Authors: POH WAN TING
Keywords: Real Estate
RE
Liow Kim Hiang
2013/2014 RE
Asian securitized real estate
Japan
NAV discount
Price to NAV
Singapore
Issue Date: 26-Nov-2013
Citation: POH WAN TING (2013-11-26). BEHAVIOUR AND DYNAMICS OF NET ASSET VALUE DISCOUNTS IN ASIAN SECURITISED REAL ESTATE MARKETS: JAPAN AND SINGAPORE. ScholarBank@NUS Repository.
Abstract: Net Asset Value (NAV) has always been regarded as the appropriate measure in valuing property stocks as they represent claims on the underlying real assets. Intuitively, real estate stocks should trade near to NAV, but in many instances have seen share prices to deviate from its fundamental values. This phenomenon of prices trading below values, known as NAV discount (NAVD) is the heart of this dissertation. In contrast to most research studies, the discovery of NAVD behavior will be discussed upon the Asian context, specifically, the leading economic powerhouses of Singapore and Japan. This paper considers three objectives. Firstly, a time-series of NAVD performance is evaluated across the securitized real estate markets in Japan and Singapore from 2007 to 2012, and revealed a strong industry-wide component of NAV discounts during the 2008 Global Financial Crisis. Secondly, the Principal Component Analysis is introduced and found that there is at least one common NAVD factor prevailing in the two markets. Statistically significant correlations in the findings signal some common Asian factor, which is particularly strongest between the cross- REITs analysis. Thirdly, the financial determinants of PNAV are tested using a multivariate panel regression. The results demonstrated that size is the most influential determinant that is positively correlated to NAV premiums across the two markets; this supports the concept of price-earnings ratio which postulates future growth potential. Conclusively, both S-REITs and J-REITS exhibit idiosyncratic characteristics as total risk and operational efficiency noted a differing trend to NAVD when compared to the non-REIT companies in Japan and Singapore.
URI: https://scholarbank.nus.edu.sg/handle/10635/221921
Appears in Collections:Bachelor's Theses

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