The Risk-Return Behavior of Real Estate Mezzanine Investment (REMI) – The Singapore Experience

UM > Faculty of Business Administration > DEPARTMENT OF MANAGEMENT AND MARKETING

Status	已發表Published
	The Risk-Return Behavior of Real Estate Mezzanine Investment (REMI) – The Singapore Experience
	HO, D.K.M.; Cuervo, J. C.
	2020-07-01
Source Publication	Journal of Economics and Public Finance
ISSN	ISSN 2377-1038 (Print) ISSN 2377-1046 (Online)
Pages	65-89
Abstract	REMI is a new financial instrument for Asia’s real estate market offering superior returns than those for the typical commercial bank loans. The resultant risk exposure is relatively high. With recent and robust growth of the Singapore real estate market, there is the fast-growing real estate investment trust market. This paper 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 to construct the BAT tree. TRs are measured by the probability weighted average returns and discussed under different scenarios. 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 LTV ratio risk and the real estate and capital markets risk. Empirical analysis involves a rigorous discrete-time forecasting of the market rent and capital value expectations of Singapore’s prime office sector, given the conditions and assumptions unique to this market. This paper fulfils the need to close the gap concerning the REMI structure and performance in the steady state, utilizing reliable, authoritative information and data sources.
Keyword	REMI (real estate mezzanine investment) Binomial asset tree (BAT) model Real estate and capital markets risk Financial LTV ratio risk bank’s senior debt Direct real estate asset
Language	英語English
The Source to Article	PB_Publication
PUB ID	53299
Document Type	Journal article
Collection	DEPARTMENT OF MANAGEMENT AND MARKETING
Corresponding Author	HO, D.K.M.
Recommended Citation GB/T 7714	HO, D.K.M.,Cuervo, J. C.. The Risk-Return Behavior of Real Estate Mezzanine Investment (REMI) – The Singapore Experience[J]. Journal of Economics and Public Finance, 2020, 65-89.
APA	HO, D.K.M.., & Cuervo, J. C. (2020). The Risk-Return Behavior of Real Estate Mezzanine Investment (REMI) – The Singapore Experience. Journal of Economics and Public Finance, 65-89.
MLA	HO, D.K.M.,et al."The Risk-Return Behavior of Real Estate Mezzanine Investment (REMI) – The Singapore Experience".Journal of Economics and Public Finance (2020):65-89.

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