Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/222425
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dc.titleRELATIONSHIP BETWEEN INSTITUTIONAL OWNERSHIP AND IDIOSYNCRATIC VOLATILITY IN ASIA-PACIFIC REITS
dc.contributor.authorFUA ZHENG QUAN
dc.date.accessioned2014-05-07T07:10:25Z
dc.date.accessioned2022-04-22T18:06:41Z
dc.date.available2019-09-26T14:14:05Z
dc.date.available2022-04-22T18:06:41Z
dc.date.issued2014-05-07
dc.identifier.citationFUA ZHENG QUAN (2014-05-07). RELATIONSHIP BETWEEN INSTITUTIONAL OWNERSHIP AND IDIOSYNCRATIC VOLATILITY IN ASIA-PACIFIC REITS. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/222425
dc.description.abstractThis 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.
dc.language.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/2535
dc.subjectReal Estate
dc.subjectSeah Kiat Ying
dc.subjectRE
dc.subject2013/2014 RE
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorSEAH KIAT YING
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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