Essays on Asian REITs

Sponsor Quality of Asian REITs: This paper proposes a novel scorecard framework to measure the quality of externally managed Asian REIT sponsors, and the relationship between Sponsor Quality and performance of externally managed Asian REITs listed in Japan, Singapore and Hong Kong. Empirical tests conducted in this paper provide evidence supporting a positive relationship between Sponsor Quality and performance. In particular, I find a strong positive relationship with performance proxied by Tobin’s Q as well as traditional accounting measures such as ROE (Return on Equity) and ROA (Return on Assets). The findings from this paper suggest that externally managed Asian REITs with higher quality sponsors tend to perform better.

Factors For Asian REITs: This paper aims to examine the applicability of contemporary factor-based asset pricing models, traditionally employed for common stocks to Real Estate Investment Trusts (REITs) in prominent Asian markets, specifically Japan, Singapore, and Hong Kong. Adopting the perspective of an investor seeking returns in Asian real estate securities, I address a fundamental investment query: which factors optimally explain the returns of Asian REITs? The analysis focuses on investigating the presence of well-established factors in the literature, including size, value, investment, profitability, and momentum in Asian REITs. Additionally, the paper compares the outcomes obtained using factors constructed using stocks versus those derived from REITs. Furthermore, the research explores the potential influence of Sponsor Quality on asset pricing for Asian REITs, along with its potential contribution to the effectiveness of prevailing factor models. To the best of knowledge, this paper represents the first attempt to examine these research objectives for REITs in Asia. I find that the Fama-French six-factor model is the most suitable model for elucidating REIT returns in Asia. Whilst stock-based factors are found to largely subsume the REIT-based factors, REIT-based factor models show higher explanatory power and lower tracking error for Asian REITs.