Empirical Investigation on the Performance of the Malaysian Real Estate Investment Trusts in Pre-Crisis, During Crisis and Post-Crisis Period

Hamzah, Ahmad Husni; Rozali, Mohammad Badri; Tahir, Izah Mohd

doi:10.5539/ijef.v2n2p62

Cited by 30 publications

(25 citation statements)

References 13 publications

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“…The Jensen measurement shows that REITs under-performed the market portfolio in the pre GFC but out-performed in during and post GFC period. The finding differs from Hamzah and Rozali's (2010) study that reported REITs experienced poorer performance in pre and post crisis period but generated better performance during the crisis based on adjusted Sharpe, Treynor and Adjusted Jensen Alpha. The results of this study also differs from Kok and Khoo's (1995) earlier study which concluded that listed property trusts are generally out-performed the market portfolio during bear market period and under-performed during bullish market period.…”

Section: Resultscontrasting

confidence: 56%

“…In 1986, Malaysia started the property trust market, known as Property Trust Funds (PTFs), the predecessor of REITs (Newell, Ting and Acheampong, 2002). Since then, it has progressed to become a well-established REIT market in Malaysia, with fourteen REITs listed as of year 2010 (Security Commission of Malaysia, 2010 REITs have been proven to be a popular and successful investment vehicle in the United States and Australia (Hamzah and Rozali, 2010). However, such does not seems to be the case in Malaysia.…”

Section: The Development Of Real Estate Investment Trust (Reits) In Mmentioning

confidence: 99%

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Malaysian Real Estate Investment Trusts: A Performance and Comparative Analysis

Ong¹,

Teh²,

Soh³

et al. 2012

IJEF

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This study examines the investment performance of conventional and Islamic Real Estate Investment Trusts (REITs) listed in Malaysia over the 2005-10 time period. Analysis reveals that both conventional and Islamic REITs experienced negative monthly return during 2008 global financial crisis (GFC) period, and positive monthly return post GFC period. Compared to market indices, most REITs are under-performed before GFC. Divergent findings were reported during the GFC and post-GFC, depending on the measurement tools used. Based on Treynor and Sharpe measurements, most REITs under-performed the market portfolio in during and post GFC period. However, according to Jensen measurement, the REITs out-performed market indices during and post GFC period. Despite these seemingly divergent findings, this study can assist investors, regulatory body, fund managers and academics to make a better informed investment decision on Malaysia REITs. This study has provided interesting and important information and insights into the performance of Malaysia REITs.

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Section: Resultscontrasting

confidence: 56%

Section: The Development Of Real Estate Investment Trust (Reits) In Mmentioning

confidence: 99%

Malaysian Real Estate Investment Trusts: A Performance and Comparative Analysis

Ong¹,

Teh²,

Soh³

et al. 2012

IJEF

View full text Add to dashboard Cite

show abstract

“…This adjustment is due to the bias in the estimation of the standard deviation (Jobson and Korkie (1981)). Similar studies conducted using this method include those by Hamzah et al (2009), and Ahmad and Ibrahim (2002). Those studies used the equation as follows:…”

Section: Methodsmentioning

confidence: 71%

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

Zulkafli

Ahmad

2017

GADJAH MADA INT. J. BUS.

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This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1 st of January 2009 to the 31 st of December 2014. This study uses the risk-adjusted return of Sharpe's Index, the Adjusted Sharpe's Index (ASI), Treynor's Index, Jensen's Alpha Index, the Adjusted Jensen's Alpha Index (AJI) and Sortino's Ratio to examine the performance of the SKI and the JCI. Except for Sharpe's Index and the Adjusted Sharpe's Index, the risk-adjusted return performance of the SKI (Treynor, Jensen's Alpha, Adjusted Jensen's Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen's Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe's Index/Adjusted Sharpe's Index and Jensen's Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does, it cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns. Abstrak: Penelitian ini menguji kinerja Sri Kehati Indeks (SKI) terhadap Indeks Harga Saham Gabungan (IHSG) sebagai indeks pasar, dengan menggunakan harga indeks harian masing-masing dari 1 Januari

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“…This was mainly due to the sources of data for I-REITs being very limited as compared to their conventional counterparts; therefore, it is too early to conclude that the conventional REITs are better as compared to the Islamic REITs. Apart from that better performance during the crisis may be explained by the 'lag effect' experienced by property and construction sectors during the economic cycle transition (Hamzah and Rozali 2010). Apart from that better performance during the crisis may be explained by the 'lag effect' experienced by property and construction sectors during the economic cycle transition (Hamzah and Rozali 2010).…”

Section: Literature Reviewmentioning

confidence: 96%