DETERMINANTS OF SYSTEMATIC RISK IN HO CHI MINH CITY’ S REAL ESTATE COMPANIES

Abstract

This paper aims to investigate factors affecting systematic risk in Ho Chi Minh City’s real estate companies for the period of 2010-2018. The research includes two stages: (i) Measuring systematic risk in Ho Chi Minh City's real estate companies following the approach of the Capital Asset Pricing Model (CAPM) of Sharpe [42] and Lintner [20]; (ii) Applying the panel data regression following Pooled OLS (POLS), Fixed Effect (FEM), Random Effect (REM) and General Method of Moments (GMM) models with two-step difference to identify factors affecting systematic risk in Ho Chi Minh City’s real estate companies. Findings from Ho Chi Minh City’s real estate companies indicate that financial leverage, interest rates, inflation are positively associated with the systematic risk, while systematic risk in the past, profitability, liquidity, real estate price index, land access index, economic growth, interest rates, banking sector fragility index and Government efficiency are negatively related to the systematic risk. This unique finding proposes significant implications for real estate executives, investors and policymakers.