12TH PACIFIC RIM REAL ESTATE SOCIETY

12TH PACIFIC RIM REAL ESTATE SOCIETY - 12TH PACIFIC RIM...

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12 TH PACIFIC RIM REAL ESTATE SOCIETY ANNUAL CONFERENCE Auckland, New Zealand 22 – 25 January 2006 THE PERFORMANCE OF LISTED PROPERTY TRUSTS IN MALAYSIA: AN EMPIRICAL INVESTIGATION M. Badri Rozali A. Husni Hamzah Department of Finance Faculty of Finance and Banking Universiti Utara Malaysia 06010 Sintok, Kedah MALAYSIA Tel: 604-9286401, Fax: 604-9286406, E-mail: [email protected] Keywords : Listed property trusts, Risk-adjusted performance, Systematic risk
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2 THE PERFORMANCE OF LISTED PROPERTY TRUSTS IN MALAYSIA: AN EMPIRICAL INVESTIGATION M. Badri Rozali A. Husni Hamzah Department of Finance Faculty of Finance and Banking Universiti Utara Malaysia 06010 Sintok, Kedah MALAYSIA Tel: 604-9286401, Fax: 604-9286406, E-mail: [email protected] Abstract This empirical study investigates the performance and systematic risk of listed property trusts in Malaysia for the 1995 to 2005 periods. The study is further analyzed according to sub-periods of the Malaysian economic cycle, namely pre- crisis, during crisis and post-crisis. The market portfolio benchmarks employed are the Kuala Lumpur Composite Index (KLCI) and the Kuala Lumpur Properties Index (KLPI). The objectives of this study are: (1) to examine the degree of returns based on risk-adjusted performance measures, specifically the Adjusted Sharpe Index, Treynor Index and Adjusted Jensen Alpha Index, of listed property trusts throughout the long-term period and in each sub-period respectively; (2) to investigate the degree of systematic risks, measured by beta, of listed property trusts throughout the long-term period and in each sub-period respectively; and (3) to determine whether the listed property trusts give higher returns than the KLCI and KLPI respectively. The results indicate that the risk-adjusted performance of the listed property trusts varied over the study period. The Adjusted Sharpe Index and Treynor Index measures show that the listed property trusts in general outperformed the market portfolios during the crisis but underperformed in the pre-crisis and post-crisis periods. Similarly, the Adjusted Jensen Alpha Index reveals that the listed property trusts on average generated better performance than the market portfolios during crisis but recorded poorer performance in the pre-crisis and post-crisis periods. This study also found that average systematic risks of the listed property trusts were slightly higher than the market portfolios during the pre-crisis and crisis but were significantly lower in the post-crisis period. Keywords : Listed property trusts, Risk-adjusted performance, Systematic risk
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3 Introduction Real estate investment trusts (REITs) are known as listed property trusts in Malaysia. In Asia, Malaysia was the first to have listed property trusts in 1989. The Asian economic crisis during 1997-1998 periods had significantly contributed
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This note was uploaded on 10/09/2011 for the course ECON 123 taught by Professor Saidin during the Spring '11 term at Apex College.

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12TH PACIFIC RIM REAL ESTATE SOCIETY - 12TH PACIFIC RIM...

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