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Determinants of Malaysian real estate investment trusts (M-REITs) risk-adjusted performance during the period of property oversupply

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General Information
Title
Determinants of Malaysian real estate investment trusts (M-REITs) risk-adjusted performance during the period of property oversupply
Type
Article
Main Author
Peck, Ling Tee
Additional Authors
  • Shuet, Ee Choong
Subject
HG Finance
ISSN
2232-0032 / eISSN 0128-0481
Language Code
eng
Bibliographic Details
Place of Production
Tanjong Malim
Publisher
Fakulti Pengurusan dan Ekonomi
Year of publication
2022
Notes
Vol. 12 No. 1 (2022): Journal of Contemporary Issues and Thought (JCIT)
Degree Type
Others
Corporate Name
Perpustakaan Tuanku Bainun

Abstract

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 MREITs 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. Keywords: M-REITs; Jensen alpha; Size of portfolio; Net property income; Dividend yield

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