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Examining the Deviation to Net Asset Value for Swedish Listed Property Companies
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Substansrabatter och substanspremier hos svenska börsnoterade fastighetsbolag (Swedish)
Abstract [en]

Net asset value (NAV) is commonly used to represent the value of a property company. For

listed property companies a secondary valuation occurs simultaneously as the company’s

stocks are traded on the stock market. Historically, a deviation between the NAV and the

market capitalisation has been found for property companies implying that the stock market

values the company differently. This thesis examines the deviation to NAV for 14 Swedish

listed property companies during 2006-2015. The examination explains the deviation from

the basis of a rational and an irrational approach. The thesis investigates empirically which

factors that have affected the deviation by the use of a panel data regression analysis.

The rational approach investigates the impact of company-specific, share-specific and

corporate governance variables. The results of the thesis show that the rational variables can

explain the deviation to NAV to some extent. The main contribution comes from companyspecific

variables. Larger companies, companies focused on fewer locations, companies with

a better reputation among asset managers and companies with a higher amount of insider

ownership are negatively correlated to the discount to NAV. These company characteristics

thus suggest a decrease in discounts to NAV (increase in premiums). At the same time

companies with a higher loan to value, focus on property type and systematic risk increase

the discount to NAV (decrease in premiums). The final rational model produces an adjusted

R-square of 37.4% for the Swedish listed property market during the investigated period.

The irrational approach investigates the impact of noise traders. The results show that the

contribution of market sentiment is significant. The confidence indicator for the households

has the greatest impact on the discount to NAV and an inclusion of the variable increases the

adjusted R-square to 53.6%. An investigation into the justification of using the Noise Trader

Theory is conducted and concludes that the use of a proxy for market sentiment is justified.

Abstract [sv]

Substansvärdet (NAV) används ofta för att representera värdet av ett fastighetsbolag. För

börsnoterade fastighetsbolag sker samtidigt en sekundär värdering eftersom deras aktier köps

och säljs på aktiemarknaden. Historiskt sett har fastighetsbolagens substansvärden skilt sig

från börspriserna av deras aktier vilket tyder på att aktiemarknaden värderar bolagen

annorlunda och det uppstår då en substansrabatt eller substanspremie. Denna uppsats

utvärderar detta fenomen för 14 svenska börsnoterade fastighetsbolag under åren 2006-2015

utifrån en rationell och en irrationell utgångspunkt. Uppsatsen testar empiriskt vilka faktorer

som påverkar skillnaden under perioden genom en regressionsanalys med paneldata.

Den rationella utgångspunkten undersöker effekterna av variabler knutna till företaget, aktien

samt företagets bolagsstyrning. Resultatet visar att rationella variabler kan förklara

substansrabatter och substanspremier till en viss grad. Det största bidraget kommer från de

företagsspecifika variablerna. Större företag, företag fokuserade på ett mindre antal orter,

företag med ett bättre rykte och företag vars styrelse har ett stort aktieinnehav tenderar att ha

en minskad substansrabatt alternativt en ökad substanspremie. Å andra sidan tenderar företag

med hög belåningsgrad, ett fåtal fastighetstyper och hög systematisk risk att ha en ökad

substansrabatt alternativt en minskad substanspremie. Den slutliga modellen av rationella

variabler genererar ett justerat R-square om 37,4% för svenska börsnoterade fastighetsbolag.

Den irrationella utgångspunkten i denna uppsats undersöker variabler knutna till ett

irrationellt handlande. Resultatet visar signifikant utfall för irrationellt handlande, där en

konfidensindikator för hushållen visar störst inverkan och genererar ett justerat R-square om

53,6%. Uppsatsen undersöker möjligheten att använda irrationellt handlande som

förklaringsvariabler till varför substansrabatter och substanspremier uppstår. Resultatet visar

att det är motiverat att inkludera irrationella förklaringsvariabler.

Place, publisher, year, edition, pages
2016. , 79 p.
Series
TRITA-FOB, ByF-MASTER-2016:29
Keyword [en]
Deviation to NAV, Panel data, Real Estate
Keyword [sv]
Substansrabatt, Substanspremie, Panel data
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-190053Archive number: 435OAI: oai:DiVA.org:kth-190053DiVA: diva2:950775
Supervisors
Examiners
Available from: 2016-08-02 Created: 2016-08-02 Last updated: 2016-08-02Bibliographically approved

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