Risk-Adjusted Performance of Malaysian Real Estate Investment Trust Funds

Soo-Wah, Low; Johari, Anwar

doi:10.17576/pengurusan-2014-41-01

Cited by 5 publications

(3 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In Malaysia, there are several previous research about REITs. For example, the result of the risk-adjusted performance analysis of M-REITs from the year 2007 to 2012 suggested that all beta values were smaller than one (less volatile than the overall market) and that the total risk of REIT funds was linked to the unsystematic risk component (Low & Johari, 2014). In spite of conventional REITs, Islamic REIT (I-REIT) is one of Malaysian researchers' focus since it is favourable to compare with conventional REITs, according to the efficiency ratios of Return of Asset (ROA) and Return of Equity (ROE) (Khairulanuwar & Chuweni, 2020).…”

Section: Introductionmentioning

confidence: 99%

Post-Pandemic Analysis for Value at Risk of Real Estate Investment Trust in Malaysia Under Quantitative Approach

Xian,

Karim,

Roslan

2023

JCIA

View full text Add to dashboard Cite

A Real Estate Investment Trust (REIT) is a fund or trust that owns and manages commercial real estate and generates revenue. After two years of the COVID-19 pandemic, the whole REITs sector suffered from lockdown, diminishing revenue from office and shopping mall rentals. Hence, investors may lose more than expected on invested capital without further analysing this situation. This highlights the importance of investors knowing the risk of investing in REITs to plan their investment strategies appropriately. The Value at Risk (VaR) is widely employed to calculate the investment risk under a mathematical model to achieve this. A past review suggested that two approaches had been utilised for modelling, i.e., parametric and non-parametric methods. The methods under non-parametric include historical simulation, Monte Carlo simulation, and bootstrapping simulation. Thus, comparing parametric methods, historical simulation, Monte Carlo simulation, and bootstrapping simulation is essential in determining the best method to analyse the VaR in the Malaysia REITs (M-REITs) sector, which particularly focuses on Malaysia. Actual previous five-year history raw price data for each REIT in Malaysia are extracted from Yahoo Finance, Refinitiv Eikon, and DataStream via University Utara Malaysia’s (UUM) e-resources database. The result of VaR from those methods is compared and validated using backtesting. Other than that, the result reveals that the parametric method and Monte Carlo simulation are good methods for REIT’s VaR calculations in Malaysia, which are close to the current value for 12 from 17 M-REITs companies.

show abstract

Section: Introductionmentioning

confidence: 99%

Post-Pandemic Analysis for Value at Risk of Real Estate Investment Trust in Malaysia Under Quantitative Approach

Xian,

Karim,

Roslan

2023

JCIA

View full text Add to dashboard Cite

show abstract

“…Real estate investment trust (REIT) is an investment vehicle or a unit trust scheme that invests in income-producing properties, which range from office or commercial buildings, shopping malls, industrial properties, resorts or hotels, healthcare facilities to specialty-built buildings (Chuweni, Ali, Ismail & Ahmad, 2015;Low & Johari, 2014). REIT market started to grow in Asia since the first decade of the 21st century (Newell et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

Determinants of Malaysian Real Estate Investment Trusts (M-REITs) Risk-Adjusted Performance during the Period of Property Oversupply

Tee,

Choong

2022

JCIT

View full text Add to dashboard Cite

After the remarkable property surge in the first half of 2010s decade (2010-2014), the Malaysian property market has then moved into a period of oversupply and price overhang, which pose more challenges for REIT managers. Unlike most previous research that mainly compared various risk-adjusted performance measures among REITs, this research looks into whether size of portfolio, fundamental performance measures (net property income and dividend yield) and types of property managed by REITs influence their risk-adjusted performance measure of Jensen alpha. Based on a sample of 16 Malaysian REITs over the period 2015-2017, regression results generally show that there is no significant relationship between any of these determinants and Jensen alpha. Furthermore, only one out of the 16 M-REITs has a positive Jensen alpha and outperforms the benchmark FTSE Bursa Malaysia Kuala Lumpur Composite Index. Investors who prefer a high and certain dividend yield can consider to invest in M-REITs that mainly focused in the hospitality sector. Based on the rankings of Jensen alpha, M-REIT fund managers can consider to diversify their property portfolios to include more retail and hospitality properties during the period of property oversupply.

show abstract

“…With interest in and demand for, REIT investment growth, information on the performance of REITs is becoming increasingly important to potential investors (Soo-Wah and Johari, 2014). Further, the outlook for investment yields is one of the critical uncertainties facing real estate investors (Hollies, 2007).…”

Section: Introductionmentioning

confidence: 99%

Applying the Fama and French three-factor model to analyze risk/reward in the Spanish REITs: an ARDL approach

Taltavull

2021

JERER

View full text Add to dashboard Cite

Purpose This paper aims to analyse the risk and excess returns of the Spanish real estate investment trusts (S-REITs) using various methods, though focusing primarily on the Fama-French three-factor (FF3) model, over the period from 2007Q3 to 2017Q2. Design/methodology/approach The autoregressive distributed lag model is used for the empirical analysis to test long-term stable relationships between variables. Findings The findings indicate that the FF3 model is suitable for the S-REITs market, better explaining the S-REITs’ returns variation than the traditional single-index capital asset pricing model (CAPM) and the Carhart four-factor model. The empirical evidence is reasonably consistent with the FF3 model; the values for the market, size and value are highly statistically significant over the analysis period, with 68.7% variation in S-REITs’ returns explained by the model. In the long run, the market factor has less explanatory power than the size and value factors; the positive long-term multiplier of the size factor indicates that small S-REIT companies have higher returns, along with higher risk, while the negative multiplier of the value indicator suggests that S-REITs portfolios prefer to allocate growth REITs with low book-to-market ratios. The empirical findings from a modified FF3 model, which additionally incorporates Spain’s gross domestic product (GDP) growth rate, two consumer price index (CPI) macro-factors and three dummy variables, indicates that GDP growth rate and CPI also affect S-REITs’ yields, while investment funds with capital calls have a small influence on S-REITs’ returns. Practical implications The regression results of the standard and extended FF3 model can help researchers understand S-REITs’ risk and return through a general stock pattern. Potential investors are given more information to consider the new Spanish investment vehicle before making a decision. Originality/value The paper uses standard techniques but applies them for the first time to the S-REIT market.

show abstract

Risk-Adjusted Performance of Malaysian Real Estate Investment Trust Funds

Abstract: This study evaluates performance and risk features of Malaysian REIT

Cited by 5 publications

References 25 publications

Post-Pandemic Analysis for Value at Risk of Real Estate Investment Trust in Malaysia Under Quantitative Approach

Post-Pandemic Analysis for Value at Risk of Real Estate Investment Trust in Malaysia Under Quantitative Approach

Determinants of Malaysian Real Estate Investment Trusts (M-REITs) Risk-Adjusted Performance during the Period of Property Oversupply

Applying the Fama and French three-factor model to analyze risk/reward in the Spanish REITs: an ARDL approach

Contact Info

Product

Resources

About