COMPARATIVE ANALYSIS OF LOCAL PROPERTY STOCKS AND FOREIGN PROPERTY FUNDS IN VIETNAM

Abstract

Focusing on the Vietnamese real estate market and the stock market, this research aims to analyse the performances of the foreign property funds, which are currently investing in Vietnam, versus the local property developers (property stocks) which are listed and traded in the two local stock exchanges. These two groups of securities are the only two vehicles of real estate securitisation in Vietnam at the moment. By using basic statistical procedures such as Independent samples t-test, paired-samples t-test, one-way ANOVA and linear regression, this study will analyse and compare these two groups of real estate securities in terms of their weekly return, weekly Sharpe ratio, as well as the alpha and beta coefficients that are derived from the CAPM model. The findings have shown that generally property stocks did outperform the funds in term of risk-adjusted returns. Property stocks are also more volatile than funds during the whole period between 2005 and 2011, but funds are actually more volatile during the financial crisis and the recession period between 2008 and 2009. Property stocks also have a higher alpha and beta coefficient than the funds, while funds did possess significantly negative alphas which indicate their underperformance to the market. Funds also have significant but very low beta coefficients, which may imply a diversification benefit for this group of securities. Among the funds, it is observed that the three funds with larger sizes and more aggressive investment strategies (Vinaland, Vietnam Infrastructure and Aseana Properties) are those who perform better than funds with smaller sizes and risk-adverse investment strategies. Hence, this pattern may imply an appropriate investment style in such an emerging market as Vietnam, and should be further examined in future researches.