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 (email@example.com)
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.
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