Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/222425
Title: RELATIONSHIP BETWEEN INSTITUTIONAL OWNERSHIP AND IDIOSYNCRATIC VOLATILITY IN ASIA-PACIFIC REITS
Authors: FUA ZHENG QUAN
Keywords: Real Estate
Seah Kiat Ying
RE
2013/2014 RE
Issue Date: 7-May-2014
Citation: FUA ZHENG QUAN (2014-05-07). RELATIONSHIP BETWEEN INSTITUTIONAL OWNERSHIP AND IDIOSYNCRATIC VOLATILITY IN ASIA-PACIFIC REITS. ScholarBank@NUS Repository.
Abstract: This paper investigates the relationship between institutional ownership and idiosyncratic volatility, specifically on Real Estate Investment Trust (REIT) in Asia- Pacific from 2010 Q4 to 2013 Q3. It is tested out using two model specifications OLS regression and Type I Tobit model. The paper has also prove that using institutional ownership level as the dependent variable is better in observing the effect of idiosyncratic volatility on institutional ownership as compared to change in institutional ownership. It has also enhanced the existing literature by finding out that adjustments of institutional portfolios based on the characteristics of REITs are largely observed on the first lagged term of idiosyncratic volatility which indicates the swift responsiveness of institutional investors in adjusting their investment portfolios. The robustness of the results is also examined through granger causality test to rebuff alterative theories of the effect of institutional ownership on idiosyncratic volatility. Despite the unique characteristics of REITs, it is interesting to note that the institutional investors have the same preferences for REITs as they have for common stocks. From a REIT manager’s perspective, this indicates a decision dilemma. REIT managers can choose to outperform the market benchmark by achieving superior returns on their investment portfolio by employing focused investment strategies. However, this will deter institution investments, as the strategy is likely to contribute to higher idiosyncratic volatility.
URI: https://scholarbank.nus.edu.sg/handle/10635/222425
Appears in Collections:Bachelor's Theses

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Fua Zheng Quan 2013-2014.pdf4.88 MBAdobe PDF

RESTRICTED

NoneLog In

Page view(s)

7
checked on Feb 2, 2023

Download(s)

1
checked on Feb 2, 2023

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.