Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/224043
Title: DEFENSIVENESS OF ASIAN REIT
Authors: KHAIRUL ANNUAR B IBRAHIM A
Keywords: Real Estate
Addae-Dapaah Kwame
2009/2010 RE
Conditional beta
Defensiveness
Recession
REITs
U-P ratio
Issue Date: 31-May-2010
Citation: KHAIRUL ANNUAR B IBRAHIM A (2010-05-31T08:37:58Z). DEFENSIVENESS OF ASIAN REIT. ScholarBank@NUS Repository.
Abstract: This study investigates the defensiveness of Asian REITs by analyzing their Upside Potential or U-P Ratio and Conditional Beta during periods of market decline. Three markets are observed namely Japan, Singapore and Australia. The period of study is during recessionary periods and is identified from July 2008 to March 2009 (Japan), May 2008 to March 2009 (Singapore) and October 2007 to March 2009 (Australia). The main findings of this study are that Asian REITs, with the exception of Japanese REITs, provide inferior positive gains for each unit of downside risk assumed as compared to stocks and gold. Asian REITs have relatively high Beta values and high systematic risk. Asian REITs also do not behave similarly to gold, a defensive investment. Therefore Asian REITs are not defensive in nature during market declines and do not offer diversification potential to investors when investors need it the most.
URI: https://scholarbank.nus.edu.sg/handle/10635/224043
Appears in Collections:Bachelor's Theses

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