Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/226118
Title: AN EMPIRICAL ANALYSIS OF DOWNSIDE RISK IN PROPERTY STOCKS
Authors: TAN ENG HUI
Issue Date: 2004
Citation: TAN ENG HUI (2004). AN EMPIRICAL ANALYSIS OF DOWNSIDE RISK IN PROPERTY STOCKS. ScholarBank@NUS Repository.
Abstract: With the equally importance of risk and return, it is getting more imminent to explore more into risk measures. Many researchers had found the variance an unrealistic risk measure, which is why downside risk is recommended for the task. Downside risk is a more realistic risk measure than variance due to its less restrictive assumptions. As defined by many researchers, downside risk is the risk of falling below the target rate of return that is usually what the investors are more worried about. With the introduction of downside risk and its advantages in risk measurement. It is pertinent to determine if downside risk explains the price variations in local property securities. After the analysis, it is found that downside risk has significant relationship with the property shares both locally and foreign shares that were listed in the SGX Mainboard. This means that downside risk is relevant in the price variations in property shares and thus this signifies the importance of the theoretical aspect of downside risk. Hence, this implies that downside risk would be a more realistic risk measure than variance, since its assumptions are closer to the realistic behaviour of investors.
URI: https://scholarbank.nus.edu.sg/handle/10635/226118
Appears in Collections:Bachelor's Theses

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