Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/222804
Title: CONTRARIAN REAL ESTATE INVESTMENT IN SINGAPORE RETAIL MARKET
Authors: LAU ZHI YONG VICTOR
Keywords: Real Estate
RE
Addae-Dapaah Kwame
2013/2014 RE
Contrarian Real Estate Investment
Stochastic Dominance
Time Varying Risk
Value Minus Growth Spread
Value Premium
Issue Date: 22-May-2014
Citation: LAU ZHI YONG VICTOR (2014-05-22). CONTRARIAN REAL ESTATE INVESTMENT IN SINGAPORE RETAIL MARKET. ScholarBank@NUS Repository.
Abstract: Most empirical studies based on aggregate property market data have since concluded the superiority of value property portfolio over growth property. This thesis paper aims to further support existing research by conducting tests on Singapore retail malls. This study is based upon empirical data of specific properties from Singapore retail market (2004Q1-2013Q4). It aims to identify whether value premium is present in Singapore retail properties for different holding period horizons. Subsequently, further tests are conducted to ascertain whether time varying risk, could be a possible explanation for the superiority of value property portfolios. This paper also used non parametric stochastic dominance test to substantiate the relative performance and risk for the value and growth portfolios. The findings of this research paper indicated mixed results with regards to the existence of value premium. For 3 year holding period there is no trace of value premium. Whereas for the 5 and 7 year holding period value premium were found to be more noticeable as holding period increases. In addition, findings showed that time-varying risk could be a possible explanation of value premium, as it was found that value premium covaried positively with risk. Finally the results of stochastic dominance indicates that investors should invest in growth properties for 3 ,5 years holding period and invest in value properties in the 7 year holding period.
URI: https://scholarbank.nus.edu.sg/handle/10635/222804
Appears in Collections:Bachelor's Theses

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