Open AccessInternational Real Estate Review
Author(s) -
Nai Jia Lee,
Tien Foo Sing,
Dinh Hoang Tran
Publication year - 2013
Publication title -
journal of the asian real estate society
Language(s) - English
Resource type - Journals
ISSN - 1029-6131
DOI - 10.53383/100163
Subject(s) - real estate investment trust , economics , subprime crisis , real estate , net asset value , financial economics , asset (computer security) , stock (firearms) , market sentiment , value (mathematics) , monetary economics , financial crisis , econometrics , finance , mathematics , geography , computer security , statistics , archaeology , computer science , macroeconomics
This paper empirically tests the sentiment and ¡§noise¡¨ effects in Singapore REITs (S-REIT) over the periods from January 2005 to December 2010.Our empirical results show that trading volume is significantly and negatively correlated with price to net asset value (P/NAV) premiums in the contemporary term. However, lagged trading volume is found to have positive effects on P/NAV premiums, which imply that herd activities of uninformed investors in the last period drive up REIT stock prices. The finding supports the sentiment hypothesis, but rejects the fundamental argument on P/NAV deviations. We find that the sentiment effects are asymmetric. The sentiment effects are not observed in the ¡§hot¡¨ markets during the pre-subprime crisis periods. However, the negative relations between trading volume and P/NAV premiums disappear in the post-crisis periods in 2008.