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

Abstract

This study examines the performance of Real Estate Investment Trusts (REITs) or listed property trusts in Malaysia using three standard performance measurement methods (Sharpe Index, Treynor Index and Jensen Index) for 1995 to 2005. In addition, it investigates the degree of systematic risks of REITs and to determine whether REITs give higher returns than the market portfolio. The results indicate that the risk-adjusted performance of REITs vary over time. REITs in general outperformed the market portfolio during the financial crisis but underperformed in the pre-crisis and post-crisis period. This study also found that the average systematic risks of REITs were slightly higher than the market portfolio during the pre-crisis and crisis period but were significantly lower in the post-crisis period. Keywords: Real Estate Investment Trusts, Risk-adjusted Performance, Systematic Risk, Malaysia

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