Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223689
Title: REIT'S SIZE, RETURN AND IMPLICATIONS OF MERGERS: A FAMA-FRENCH 3 FACTOR MODEL STUDY
Authors: ANG BOON WEE CALVIN
Keywords: Fama-French 3 factor
Merger
Ong Seow Eng
Real Estate
2019-2020 RE
RE
Size premium
Excess return
NAV
Total Return
Market Capitalisation
REIT
Issue Date: 28-May-2020
Citation: ANG BOON WEE CALVIN (2020-05-28). REIT'S SIZE, RETURN AND IMPLICATIONS OF MERGERS: A FAMA-FRENCH 3 FACTOR MODEL STUDY. ScholarBank@NUS Repository.
Abstract: Since the conception of Real Estate Investment Trust (REIT) by the United States in 1960s, it has come a long way to be recognised as a preferred investment class. Its unique cashflow structure and its low per unit price offers itself as a major opportunity for retail investors to easily partake in the capital market investment for a steady return. As much as it is now a popular investment class, any relevant stakeholder will inevitably ask: “Which REIT will yield the highest return?” On top of that, with the recent mergers that happened, one may question the impact of a REIT’s size and the act of merging. This dissertation study serves to provide insight in that question by investigating S- REITs’ Total Return in relation to its size. The study does this by adopting the Fama-French 3 factor model widely used in the analysis of the capital market, especially for the case where excess return is accounted for. The model is adapted with other key information such as the monthly return of each S-REITs, its market capitalisation, its book value etc. Using market data of all the S-REITs in the market from 1 Jan 2010 – 31 Dec 2019, Total Return of each REIT against the market portfolio is registered. Following that, the Total Return of each REIT is regressed against the Market Capitalisation and the Net Asset Value (NAV) of each REIT to find out the strength of the relationship between the size of REIT and its Total Return. In that respect, we can then find out if smaller REIT can really grow faster, ie if there is any size premium to be factored into REIT.
URI: https://scholarbank.nus.edu.sg/handle/10635/223689
Appears in Collections:Bachelor's Theses

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