This study empirically examines the dynamics of the private industrial market in Singapore using a Vector Error Correction Model (VECM), which is derived based on the theoretical framework of an extended accelerator investment model. The GDP in manufacturing sector (LMGDP) and the composite...

One interesting explanation for asset securitization is the managerial agency theory - where securitization of cash flows that are relatively insensitive to managerial effort reduces the noise for cash flows that are sensitive to managerial effort (Iacobucci and Winter, 2005). This paper extends...

Asset Backed Securitization (ABS) is a relatively new financial instrument in Singapore's capital market, which has been accepted by developers (originators) as an alternative source of financing. Credit assessment and rating requirements have not been imposed on the ABS bond issues. Default...

Asset backed securities have been promoted as an important financing instrument for property developers to raise capital in Singapore. In 1999 alone, $41.92 billion worth of bonds have been issued via the securitization of six commercial properties and one residential condominium project under...

The primary aim of this research is to estimate implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period 1984 to 1997, which includes over 20,000 commercial property transactions in the UK, we find that the average...

The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the UK, we find that implied...

This study affirms the negative relationship between corruption and real estate investment flows using a comprehensive set of cross-border commercial real estate investment data from 2001 to 2014. We find non-information explanations for foreign investments in corrupt countries. Foreign...

This paper uses the Markov Switching VAR model to examine the dynamics relationships between stock returns and housing returns in the US covering the periods from 1987 to 2017. The results show significant regime-dependent auto-correlations in stock and housing returns in both the high...

This paper examines the causal effects of air pollution on the household consumption of water and electricity in Singapore. Using the transboundary haze pollution caused by forest fires in Indonesia as an exogenous shock, we find that increases in haze pollutant intensity in the air...

This paper provides a non-information-based explanation to the stock price synchronicity for firms sorted by the country, size-decile and industry sector. Using a panel of listed firms in 40 countries spanning over 23 years, we find that the governance and the market size effects are highly...