Calvin, Kumala;
Ye, Zhen;
Zhu, Yite;
Ke, Qiulin;
(2024)
Why does price deviate from net asset value? The case of Singaporean infrastructure REITs.
International Review of Financial Analysis
, 93
, Article 103172. 10.1016/j.irfa.2024.103172.
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Abstract
This paper examines the determinants of the changes in premiums to Net Asset Value (NAV) in infrastructure REIT (infra-REIT) share prices in Singapore over the 2017–2021 period. Samples of 11 listed Singaporean REITs (S-REITs) are selected to create a balanced panel data for the analysis. Our finding shows that infrastructure S-REITs have generally been trading at premiums to their NAVs. The first part of the analysis shows that REIT premiums are positively related to REIT size (market cap) and percentage of institutional ownership. On the other hand, REIT premiums are negatively related to dividend yield. Volatility, volume, ROE and liquidity are found to be insignificant in explaining price and NAV divergence. The second part of the analysis finds that there is a higher proportion of uninformed (noise) traders when infrastructure S-REIT prices are diverging from their NAV. This finding supports the Noise theory which implies that there is some evidence that noise traders are present in the infrastructure S-REIT market and their actions might cause irrational departure of REIT prices from the underlying NAV.
| Type: | Article |
|---|---|
| Title: | Why does price deviate from net asset value? The case of Singaporean infrastructure REITs |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.irfa.2024.103172 |
| Publisher version: | https://doi.org/10.1016/j.irfa.2024.103172 |
| Language: | English |
| Additional information: | Copyright © 2024 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/) |
| Keywords: | Infrastructure, Investment, Net asset value, REIT, Singapore, Noise trading |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment > The Bartlett School of Planning |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10189888 |
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