Download or read book Factors Determinants and Relationship Between Liquidity Risk and Company s Performance in Real Estate Industry in Singapore written by Farah Wahidah Ahmad and published by . This book was released on 2019 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to investigate and analyze the factors determinants and the relationship between risk factors determinants with the company performance in real estate industry in Singapore. This study employs time series regression analysis of the company in real estate sector as the company for this is Capital and Limited BHD that base in Singapore, data taken from the company's financial statement and annual report for 5 years from the year 2013 - 2017. Quick ratio (liquidity risk) has been used as the dependent variable to study its relationship with the independent variables of the firm specific risk such as, company's performance, credit ratio and operational ratio, index score and macroeconomic factor such as inflation rate, GDP, unemployment rates and so on. The enter method was used to obtain the correlation and regression result to observe the significance level of the risk with the profits.

Download or read book The Versatility of the Real Estate Asset Class the Singapore Experience written by Kim Hin David Ho and published by Partridge Publishing Singapore. This book was released on 2021-02-22 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 takes a close look at two types of heterogeneous investors (momentum and disposition) to form a unique difference model, to interpret housing price dynamics. Three parameters are crucial, namely, auto-correlation, the rate of mean reversion and the contemporaneous adjustment towards long-term equilibrium price. The key implication is that the 2006 boom of the Singapore private housing market does not offer as large a magnitude as that from the price gain in the 1990's boom-and-recovery over the long-term. Singapore's private housing market is low risk, offering stable returns owing to virtually no divergence even in the speculative 1990s. The best way to invest is to consider the momentum strategy and avoid the herd behaviour for profit sustainability. For policy makers, the Singapore private housing market is over-damped in the long run. Chapter 2 adopts game theory to look at the private residential development oligopolistic market; the determination of residential development sale prices in an uncertain market and under incomplete information of competing developers; the dynamic interaction among developers; the time lags of the development project completion from project start; and the launching of the residential development for sale before completion and the residential development's own capacity constraints. Developers tend to cooperate for long-term benefit, leading to a sales slowdown. Relatively high profits, earnable in the first few periods, provide an allowance to price undercut others, to sell much faster. First-mover advantage in a new market is evident. As uncertainty rises, prices decrease while price variability increases. Chapter 3 looks at the institutional nature of legal origin and the total returns (TRs), derived from investing in a country's direct real estate, and via the adoption of a multi-factor arbitrage pricing theory (APT) model. The 1st and 4th order autoregressive model is adopted to de-smooth the TRs. De-smoothed data is used in conjunction with 2 macroeconomic variables (real GDP growth rate and interest rate) and 1 real estate risk factor (vacancy rate) to form the multi-factor structural model. A pooled panel analysis is conducted with the law-system dummies, denoting British legal origin and French legal origin, and the factor loadings (i.e. the sensitivity of the risk factor to the TRs). Macroeconomic and real estate risk factors in equilibrium affect the TRs. Vacancy rate commands high and significant risk premium owing to its direct impact on the TRs, relative to GDP growth rate and interest rate. Chapter 4 is concerned with the real estate mezzanine investment (REMI), a new financial instrument for Asia's real estate market, and examines the REMI structure, the measurement and characteristics of its risks and returns via a forward-looking binomial asset tree (BAT) model. Risk neutral pricing probability is adopted. REMI bears more risk than typical commercial bank loans, resulting in higher interest rates than pure equity. Different risk issues focus on two major sources - the financial loan to value (LTV) ratio risk and the real estate and capital markets risk. Chapter 4 fulfils the need to close the gap concerning the REMI structure and performance in the steady state, utilizing reliable, authoritative information and data sources. Lastly, Chapter 5 offers this book's conclusion.

Download or read book Liquidity Risk and Its Determinants written by Nor Afiqah Azhar and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk management is an important aspect in an organisation. It is important for an organisation to manage liquidity risk efficiently. Hence, this study attempted to investigate the influence of firm-specific factors and macro-economic factors affecting liquidity risk of firms in manufacturing industry in China which is specific on TCL Communication Holding Limited. This study employs time series regression analysis of firms in TCL Communication Holding Limited from 2012 to 2016. The analysis shows that firm-specific factor (operating margin) and macro-economic factor (exchange rate) influence the liquidity risk of the firms.

Download or read book Direct Real Estate Duration Risk Total Risk and the Residential Mortgage Life Insurance Rmli written by Kim Hin David HO and published by Partridge Publishing Singapore. This book was released on 2021-08-31 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 compares the direct real estate (DRE) duration Beta estimates with the time-varying Beta regression estimates, for each of the three prime DRE sectors. Except for the prime office sector, both the duration Beta and the time-varying Beta profiles follow the same general trend. The luxury residential sector and the prime office sector are inclined to move in opposite direction. However, the prime office sector shows greater volatility in the duration Beta compared with the time-varying Beta. Chapter 2 demonstrates overall that in the presence of a set of limited available information comprising a direct real estate (DRE) asset’s passing (annual) rent, the current rental value, the expected yields and the yield-growth movements from a DRE sector analysis, conducted by a DRE consultancy or service provider, the risk-free rate and the lease maturity period; it is readily feasible to model and rigorously estimate several key risk measures and the expected total returns (TRs). Such a model and its estimations can be achieved through an ex-ante integrated DRE risk-measure model, which innovatively combines the bond duration-convexity risk conception, the Beta distribution function, and the DRE equivalent (rental) yield valuation conception. Finally, Chapter 3 looks at the structural and behavioural experience of the prepayment risk for the underlying mortgages of China’s rapidly developing residential mortgage life insurance (RMLI) market. A reliable private prepayment dataset for China’s commercial center - the city of Shanghai - is deployed. Chapter 3 estimates the relationship between RMLI’s underlying mortgage prepayment risk and the observable macroeconomic factors, loan specific factors and borrower specific characteristics. A Cox proportional hazard model is adopted for this purpose. Chapter 4 summarises the book’s findings and highlights the contributions and recommendations made

Download or read book Liquidity Risk and Performance of Banking System in Malaysia written by Ameira Sohaimi and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent financial crisis raised the issue of understanding the liquidity risk of financial assets and institutions. This paper studies the ability that exposure and sensitivity to liquidity risk has in banking system in Malaysia.Purpose - This paper aims to analyze the liquidity risks and disclosure as well as to draw the relationship between liquidity risks and financial performance measures using deposits, cash, liquidity gap and also non-performing loans as the indicator to the banking system in Malaysia and evaluate the effect on banks' capital and reserve.Design/methodology/approach - Data are retrieved from the utilizing journals, books, Thompson Data Stream, balance sheet, income statements and report by Bank Negara Malaysia for the period 1997-2012. Multiple regressions are applied to assess the impact of liquidity risk on banks' capital and reserve. Findings - The results of the multiple regressions showed that liquidity risk affects banks capital and reserve significantly, with non-performing loan (NPLs), as the exacerbating the liquidity risk. They have a negative relationship with deposit, cash and liquidity gap.Research limitations/implications - The period studied in this paper is one year, due to availability of data. However, the sample period does not impair the findings since the sample includes 56 banks, which constitute the main part of the Malaysian banking system. Moreover, only NPLs do not used to measure of performance. Economic factors contributing to liquidity risk are not covered in this paper.Originality/value - This is paper are refer to journal who is research about the Pakistani banking system but the result from that journal are not influence the result in this paper. This paper helps in understanding the factors of liquidity risk and performance of banking system. Consequently, understanding their impact on the bank's capital and reserve of the banking system. Paper type - Research paper.

Download or read book Commonality in Liquidity and Real Estate Securities written by Kustrim Reka and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We conduct an empirical investigation of the exposure of U.S. REIT returns to commonality in liquidity. Taking advantage of the specific characteristics of REITs, we study three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with the stock market), and commonality with the underlying property market. We find evidence that the three types of commonality in liquidity represent significant risk factors for REIT returns but only during bad market conditions. We also find that using a linear approach, rather than a conditional, would have underestimated the role of commonality in liquidity risk. This could explain (at least partly) the small impact of commonality on asset prices documented in the extant literature. We also analyze the economic sources of commonality in liquidity and find that demand-side factors prevail over supply-side factors.

Download or read book Liquidity and Pricing Biases in the Real Estate Market written by Zhenguo Lin and published by . This book was released on 2004 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity Risk Environment Factor and the Performance in Logistic and Transportation Company written by Ting Kin Hoe and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to analyze the performance of the logistics and transportation industry in Malaysia during five years. From the very beginning until now, no matter those company engaged in the field of logistic and transportation will not be removed. This is because no matter what changes and sophistication of technology is happening at the present time; it is no longer able to send items/goods from somewhere to another place in the blink of an eye. Hence, the use of transport by land, sea and air is indispensable to everyone. Therefore, an analysis is applied on one of the logistics and transportation local company in Malaysia over the period between 2012 and 2016. By the way, this study was carried out using the secondary data which was obtained from the annual reports of selected local company which is MISC Berhad in consecutive years from 2012 until 2016. This study using a descriptive analysis such as credit risk, liquidity risk, operational risk, market risk and also economic environment to evaluate the performance of the MISC Berhad which engaged in logistics industries. The finding show that the company's performance can be influenced by the current ratio and environment factor.

Download or read book Monitoring Company Performance in the Presence of Risk written by Dinesh Ramachandran and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this research is to investigate how overall performance of YTL Land Development Berhad is said to impact the profitability performance using the liquidity ratio and remuneration factors as the indicators. The performance of the company was measured for 5 years which from 2011 to 2015. The data used for the regression and bivariate correlation analysis were both external and internal factor and it is utilized to see the relationship between the risk factors to the profitability of the company. The regression analysis shows only 2 out of 7 factors which are the liquidity and remuneration have positive influence the profitability ratio in case our is the ROA and liquidity has influenced the most towards profitability of this company while the other 5 factors has relationship towards the profitability but not significant.

Download or read book Real Estate Valuation in Singapore Practices and Trends written by Shi Ming Yu and published by World Scientific Publishing Company. This book was released on 2025-01-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves as a guide to Singapore's real estate, its value and valuation. It examines in detail the real estate market in Singapore, focusing on how property values are determined and how real estate valuations are conducted. Other topics discussed in the book include the impact of technology and digitalization on valuation practices and how Automated Valuation Models will shape the future of real estate valuation.

Download or read book The Relation between Liquidity Risk and Default Risk in Equity Returns written by Maria Vassalou and published by . This book was released on 2006 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper demonstrates the relative importance of default and liquidity risks in equity returns. While previous studies have shown that both default and liquidity risks affect equity returns, none, to our knowledge, has examined their interrelation and relative importance for equity returns. We consider three alternative liquidity measures: the Pastor-Stambaugh measure, the turnover measure, and the illiquidity ratio measure. The default measure of choice is the one based on Merton's (1974) contingent claims approach. The alternative liquidity measures are very different from each other, but they are all related to our default measure. While we know from past research that low liquidity stocks earn higher returns than high liquidity stocks, we demonstrate here that this is the case only when these stocks also have high default risk, and in no other case. In contrast, high default risk stocks always earn higher returns than low default risk stocks, independently of their liquidity level. Vector autoregressive tests reveal the existence of a two-way causal relation between default risk and stock market returns, which is not present in the case of liquidity. Liquidity risk does not affect the future path of stock market returns. The robustness of these relations remains unaltered when we take into account the correlation of the default and liquidity measures with aggregate stock market volatility. Consistent with previous evidence, the inclusion of default and liquidity variables in popular asset pricing specifications improves a model's performance. However, the improvement is much larger when the included variable is default, rather than liquidity. In the presence of the default variable, the inclusion of a liquidity proxy in an asset pricing specification results in only a marginal improvement of the model's performance. The opposite is not true.

Download or read book Real Estate Exposure and Asset Intensity written by Seow Eng Ong and published by . This book was released on 1999 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate accounts for a significant proportion of the corporate assets of publicly listed companies. The real estate exposure of publicly traded companies in land scare economies such as Hong Kong and Singapore is particularly high. This study explores the real estate exposure of listed companies in Singapore where non-real estate companies are classified by their real estate asset intensity. A six-factor Arbitrage Pricing Theory (APT) model, capturing changes in real estate prices, industrial production, expected inflation, unanticipated inflation, risk premium and term structure, shows that real estate exposure is priced. In addition, the real estate risk premium is found to vary across companies with different real estate asset intensity. A close linkage is also established between real estate exposure and various industries. Other than the real estate-intensive industries such as real estate, hotel and construction, conglomerates and financial companies also have a high exposure to real estate. Interestingly, our analysis shows that real estate exposure, which is computationally tedious to determine, can be proxied by real estate asset intensity, a simple accounting measure. The implications for portfolio management in a land-scare market are examined.

Download or read book Dynamic Interactions between Interest Rate Credit and Liquidity Risks written by Ren-Raw Chen and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a large data set on credit default swaps, we study how default risk interacts with interest-rate risk and liquidity risk to jointly determine the term structure of credit spreads. We classify the reference companies into two broad industry sectors, two broad credit rating classes, and two liquidity groups. We develop a class of dynamic term structure models that include (i) two benchmark interest-rate factors to capture the libor and swap rates term structure, (ii) two credit-risk factors to capture the credit swap spreads of high-liquidity group of each industry and rating class, and (iii) both an additional credit-risk factor and a liquidity-risk factor to capture the difference between the high- and low-liquidity groups. Estimation shows that companies in different industry and credit rating classes have different credit-risk dynamics. Nevertheless, in all cases, credit risks exhibit intricate dynamic interactions with the interest-rate factors. Interest-rate factors both affect credit spreads simultaneously, and impact subsequent moves in the credit-risk factors. Within each industry and credit rating class, we also find that the average credit default swap spreads for the high-liquidity group are significantly higher than for the low-liquidity group. Estimation shows that the difference is driven by both credit risk and liquidity differences. The low-liquidity group has a lower default arrival rate and also a much heavier discounting induced by the liquidity risk.

Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 2005 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Company Performance and Its Determinants written by and published by . This book was released on 2010 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to identify the key success factors that affect Malaysia property companies' performance. the hypothesis of property company performance and its determinants are tested using annual time series data from 1999-2008. the analysis reveals that the coefficient for shareholder fund, capital expenditure, and plants and equiments are negative where an increase in shareholder fund, capital expenditure, and plants and equipments will cause return on assets to decrease.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Estate Risk Effects on Financial Institutions Stock Return Distribution written by Elyas Elyasiani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines two relationships using the bivariate GARCH methodology. First, the relationship between equity returns of commercial banks, Savings and Loans (S&Ls) and life insurance companies (LICs), and those of the real-estate investment trusts (REITs), a proxy for the real-estate sector performance. Second, the relationship between conditional volatilities of the stock returns of these financial intermediaries (FIs) and that of REITs. The former relationship allows the spillover of returns between the real-estate and the financial intermediation sector to be analyzed. The latter allows an investigation of the prevalence, direction and strength of inter-sectoral risk transmission to be carried out. Several interesting results are obtained. First, the equity returns of the FIs considered follow a GARCH process and should be modeled accordingly. Second, as found in the literature, returns on REITs should be modeled using the Fama-French multiple factor model. However, this model has to be extended to incorporate a GARCH error structure. Third, all FI returns considered are highly sensitive to REIT returns and the effects are both statistically and economically significant. This is an indication that shocks to REITs returns spillover to the former markets. Fourth, spillover of increased volatility in the real-estate sector to S&Ls and LICs is significant but not to commercial banks.