Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/226078
Title: A PRICE DISCOVERY ASPECT OF THE SINGAPORE OFFICE SECTOR - OFFICE AND LAND PRICE INDICES
Authors: NG YONG CHIANG
Issue Date: 2004
Citation: NG YONG CHIANG (2004). A PRICE DISCOVERY ASPECT OF THE SINGAPORE OFFICE SECTOR - OFFICE AND LAND PRICE INDICES. ScholarBank@NUS Repository.
Abstract: Real estate performance in a country can be measured by its real estate indices. In Singapore, the only publicly available price indices are those published by the Urban Redevelopment Authority (URA). However, due to the weak-form efficient real estate market, the officially published indices suffer from a temporal lag error. As a result, the accuracy of decision making and analysis tends to be compromised to some extent. This study seeks to investigate the price discovery of the Singapore office sector by estimating the structural lags and time line aspect that is inherent in the corresponding office capital value (CV) and land price indices. The study utilizes the URA office CV index and a synthetic office land price index that is constructed in this study. From the analysis of both the synthetic office land price index and the URA office CV index, it is found that office land prices in Singapore are inclined to be price inelastic. In general, the high rents and CVs of office real estate assets in Singapore are not a result of office land prices, as these prices have been falling over the past decade. In this study, a state space model approach, in conjunction with the Kalman Filter algorithm are deployed. The results of the analysis show that the indices both suffer from a 1st order temporal lag error structure i.e. a lag of one period. To enable the indices to be more informationally efficient and representative, they are de-lagged accordingly. The findings provide useful information to developers, investors, businesses and policy makers who are interested in the office sector. The attribution of the office sector's performance in a mixed asset portfolio can also be better measured, and if needed, the assets are subjected to a more optimal reallocation over a required investment horizon and required portfolio return. Office development project launches can be timed with greater accuracy in synchronization with the real estate market cycle of interest so as in order to achieve improved profits and net absorption rates.
URI: https://scholarbank.nus.edu.sg/handle/10635/226078
Appears in Collections:Bachelor's Theses

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