Abstract
An evaluation of M-REITs utilizing the Sharpe, Treynor and Jensen measures was conducted from 2007 to 2015 to investigate the risk diversification benefits of REITs. The results indicate that all selected M-REITs outperform the FBM Property Index. The beta values are less than one, implying that M-REITs are less risky than the market. Low R-squared values, however, suggest that M-REITs are poorly diversified showing the potential for diversification opportunities. A portfolio consisting few different M-REITs may result in better performance. The findings of this research can provide a clearer understanding of REITs performance to portfolio managers and investors.
| Original language | English |
|---|---|
| Pages (from-to) | 265-276 |
| Number of pages | 12 |
| Journal | Pertanika Journal of Social Sciences and Humanities |
| Volume | 25 |
| Issue number | S |
| Publication status | Published - 2017 |
| Externally published | Yes |
Keywords
- Diversification
- Market risk
- Performance ratings
- Real Estate Investment Trusts
- Unsystematic risk