SHS Web Conf.
Volume 56, 2018International Conference on Leadership and Management (ICLM 2018)
|Number of page(s)||11|
|Section||Digital Economy & Preemptive Global Business Management|
|Published online||14 November 2018|
A comparison on the performance and risk diversification benefits of real estate investment trusts in Malaysia and Singapore
Department of Accounting, Faculty of Accountancy and Management, Universiti Tunku Abdul Rahman
2 Department of International Business, Faculty of Accountancy and Management, Universiti Tunku Abdul Rahman
* Corresponding author: Ng Ching Yat David (firstname.lastname@example.org)
This study analyses the investment performance and effectiveness of risk diversification between M-REITs’ and S-REITs’ by comparing their respective Sharpe Ratio, Treynor Ratio and Jensen’s Alpha including the diversification measures (unsystematic risk divided by total risk and one-minus R squared) calculated on each REITs. The study period for M-REITs’ extends from 2007 to 2016 and for S-REITs’ from 2002 to 2016. Results shows that M-REITs’ perform better than S-REITs’ in terms of Sharpe ratio, Treynor ratio, and Jensen’s Alpha. Total risk of S-REITs’ are higher than M-REITs’. The Beta values for both M-REITs’ and S-REITs’ are less than one, implying that both categories of REITs are less risky than the market index. M-REITs’ have lower R-Squared values than S-REITs’, which suggests that M-REITs’ are poorly diversified than S-REITs’ and therefore, M-REITs’ have more diversification opportunities. The diversification measures computed for M-REITs’ are higher than S-REITs’ and would imply that M-REITs’ have better rate of returns if M-REITs’ diversify their risk (higher risk diversification benefits). The findings from this study aims to help investors to make better investment decision when investing in M-REITs’ and S-REITs’. Top and poor performers of M-REITs’ and S-REITs’ are determined in this study. The findings from this study aims to assist investors determine better investment decisions when considering investing in M-REITs’ and S-REITs’.
Key words: M=REITs / S-REITs’ / Performance / Risk Diversification
© The Authors, published by EDP Sciences, 2018
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0 (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.