Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223436
Title: SYSTEMATIC RISK PREMIUMS FOR GREEN REITS
Authors: DANG DINH QUOC DUNG
Keywords: Real Estate
RE
2017/2018 RE
Sing Tien Foo
CAPM
Green buildings
REIT
Systematic risk
Issue Date: 4-Jun-2018
Citation: DANG DINH QUOC DUNG (2018-06-04). SYSTEMATIC RISK PREMIUMS FOR GREEN REITS. ScholarBank@NUS Repository.
Abstract: The main objective of this research is to study the relationships between returns and systematic risks of Real Estate Investment Trusts (REITs) and the impacts of Green-Mark (GM) certified properties held by Singapore REITs. Empirical studies on the beta-return trade-off have been widely conducted in financial industry, including the REIT markets. However, the past literature examining the impacts of green properties in REIT portfolios on their market risks has been limited. Therefore, this study aims to fill in the gap in the literature by providing empirical evidence on the pricing of market risks and the effects of REITs’ ownership of green space on their betas. Unlike the Capital Asset Pricing Model (CAPM)’s claim that asset return is positively correlated with systematic (undiversifiable) risk, the regression results show no significant unconditional positive relationship between REIT’s realized return and systematic risk. However, the results show significant relationships between return and beta conditioning on REIT’s excess market return. In addition, the panel regressions also suggest that market capitalization, leverage ratio, and dividend per share are significant determinants of systematic risks. Besides, according to the empirical results, with the effect of GM scheme version 4.0 of the Building and Construction Authority (BCA), green properties increase the beta risks of Singapore REITs in all property sectors. However, before said version, GM industrial buildings in REIT portfolios significantly reduced their market risks. The findings imply that REIT managers and investors should take into account REITs’ green portfolios to manage their systematic risks, and ultimately, to maximize returns in different market conditions.
URI: https://scholarbank.nus.edu.sg/handle/10635/223436
Appears in Collections:Bachelor's Theses

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