Performance of REITS in comparison to other financial assets

Performance of REITS in comparison to other financial assets

This is the first empirical study examining the impact of dividend tax rate changes on the performance of Malaysian Real Estate Investment Trusts (REITs). The Malaysian Government announced several tax incentives during the annual budget presentation in 2007, 2009, and 2012. The period of study is...

Full description

Saved in:
Bibliographic Details
Main Author: Rahman, Audia Syafaatur
Format: Thesis
Language:eng
eng
Published: 2015
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/5547/1/s816998_01.pdf
https://etd.uum.edu.my/5547/2/s816998_02.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
id my-uum-etd.5547
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Abdullah, Nur Adiana Hiau
topic HG Finance
spellingShingle HG Finance
Rahman, Audia Syafaatur
Performance of REITS in comparison to other financial assets
description This is the first empirical study examining the impact of dividend tax rate changes on the performance of Malaysian Real Estate Investment Trusts (REITs). The Malaysian Government announced several tax incentives during the annual budget presentation in 2007, 2009, and 2012. The period of study is between January 1999 and December 2014 and specifically before and after the implementation of the 2007 tax incentives. Malaysian REITs performance are measured with three risk-adjusted performance measures (Sharpe, Treynor, and Jensen). The results indicate that, before 2007, Malaysian REITs showed unfavorable performance against the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. After 2007, Malaysia REITs outperformed the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. These findings show that the Malaysian government has made the right move in implementing the tax incentive as the REITs industry development has improved ever since its establishment
format Thesis
qualification_name masters
qualification_level Master's degree
author Rahman, Audia Syafaatur
author_facet Rahman, Audia Syafaatur
author_sort Rahman, Audia Syafaatur
title Performance of REITS in comparison to other financial assets
title_short Performance of REITS in comparison to other financial assets
title_full Performance of REITS in comparison to other financial assets
title_fullStr Performance of REITS in comparison to other financial assets
title_full_unstemmed Performance of REITS in comparison to other financial assets
title_sort performance of reits in comparison to other financial assets
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2015
url https://etd.uum.edu.my/5547/1/s816998_01.pdf
https://etd.uum.edu.my/5547/2/s816998_02.pdf
_version_ 1747827946989551616
spelling my-uum-etd.55472021-04-05T01:02:09Z Performance of REITS in comparison to other financial assets 2015 Rahman, Audia Syafaatur Abdullah, Nur Adiana Hiau School of Economics, Finance & Banking College of Business HG Finance This is the first empirical study examining the impact of dividend tax rate changes on the performance of Malaysian Real Estate Investment Trusts (REITs). The Malaysian Government announced several tax incentives during the annual budget presentation in 2007, 2009, and 2012. The period of study is between January 1999 and December 2014 and specifically before and after the implementation of the 2007 tax incentives. Malaysian REITs performance are measured with three risk-adjusted performance measures (Sharpe, Treynor, and Jensen). The results indicate that, before 2007, Malaysian REITs showed unfavorable performance against the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. After 2007, Malaysia REITs outperformed the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. These findings show that the Malaysian government has made the right move in implementing the tax incentive as the REITs industry development has improved ever since its establishment 2015 Thesis https://etd.uum.edu.my/5547/ https://etd.uum.edu.my/5547/1/s816998_01.pdf text eng public https://etd.uum.edu.my/5547/2/s816998_02.pdf text eng public masters masters Universiti Utara Malaysia Ahmad, H.H., Rozali, M.B. & Tahir, I.M. (2010). Empirical Investigation on the Performance of the Malaysian Real Estate Investment Trusts in Pre – Crisis, During Crisis and Post-Crisis Period. International Journal of Economics and Finance, 2(2), 62-69. Annual Report Bursa Malaysia. (2013). Annual Report Bursa Malaysia 2013. Atchison, K. & Yeung, V.S. (2014). The Impact of REITs on Asian Economies. APREA, 1-48. Brounnen, D. & Koning, S.D. (2012). 50 Years of Real Estate Investment Trusts: An International Examination of the Rise and Performance of REITs. Journal of Real Estate Literature, 20(2), 195-223. Brounen, D., Mahieu, R., & Veld, H. (2013), The Effects of Shifting Tax Regimes – An International Examination of the REIT Effect. Brueggeman, W. & Fisher, J.D. (2011). Real Estate Finance and Investments (14th edition). New York. McGraw-Hill Irwin. Burns, W. L. & Epley, D. R. (1982). The Performance of Portfolio of REITs+Stocks. Journal of Portfolio Management, 8(3), 37–42. http://doi.org/10.3905/1982.408866. Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990). Risk and return on real estate: Evidence from equity REITs. Real Estate Economics, 18(4), 431–452. http://doi.org/10.1111/1540-6229.00531. Chin et al. (2007).The Emergence of a Discrete Asset Class. RREEF Research. pp.1-65. Christopherson, J. A., Carino, D.R., & Ferson, W.E. (2009). Portfolio Performance Measurement and Benchmarking. New York. McGraw-Hill Irwin. Coen, A. & Lecomte, P. (2014). Another Look at Asian REITs Performance after Global Financial Crisis. Handbook of Asian Finance. Vol.2. http://dx.doi.org/10.1016/B978-0-12-800986-4. 00004-2. Edi, N., Binti, A., & Saad, N. M. (2009). Risk and Real Estate Investment Trust (REITs) Return : Evidence from Listed Public Trust. Indonesia Capital Market Review, 3(1), 1–12. EPRA. (2015). Global REIT Survey 2015. Goebel, P.R. & Kim, K.S. (1989). Performance Evaluation of Finite-Life Real Estate Investment Trusts. Journal of Real Estate Research, 4(2), 57-69. Han, J., & Liang, Y. (1995). The Historical Performance of Real Estate Investment Trusts. Journal of Real Estate Research, 10(3), 235. Retrieved from http://search.ebscohost.com/ login.aspx? direct =true & db = bth &AN = 4475404 & site = ehost-live. Higgins, D., & Ng, B. (2009). Australian Securitised Property Funds: An Examination of their Risk-Adjusted. Journal of Property Investment and Finance, 27(4), 404-412. Hwa, T. K. (1999). Listed Property Trusts in Malaysia: A Comparative Performance Analysis. Exchange Organizational Behavior Teaching Journal, (January), 109–118. Howe, J.S. & Shilling, J.D. (1990). REIT Advisor Performance. AUREA Journal. 18(4), 479-500. Hudson-Wilson, S., and Wurztebach, C. (1994) Managing Real Estate Portfolios, Irwin, Burr Ridge. Hwa, T.K. (2008). Sources of Net Present Value Gains in the Acquisitions of Corporate Real Estate. Journal of Corporate Real Estate, 10(2), 121–129. Inland Revenue Board Malaysia. (2012). Real Estate Investment Trusts/Property Trust Funds - An Overview Public Ruling No.8/2012. Janice, Y. M., & Lin, C. (2007). The New Real Estate Investment Trusts in Malaysia : Lessons From Listed Property Trusts. Property Management, 1–17. Jensen, M.C. (1968). The Performance of Mutual Funds in the Period 1945–1964. Journal of Finance, 23, 389–416. Kim, H., Mattila, A. S., & Gu, Z. (2002). Performance of Hotel Real Estate Investment Trusts: A Comparative Analysis of Jensen Indexes. International Journal of Hospitality Management, 21(1), 85–97. http://doi.org/10.1016/S0278-4319(01)00026-3 Kim, H., Mattila, A. S., & Gu, Z. (2002), Hotel Real Estate Investment Trusts’ Risk Features and Beta Determinants. Journal of Hospitality and Tourism Research, 26(2), 138–154. Kok, K. & Khoo, K. (1995). Performance of Property Trusts in the Kuala Lumpur Stock Exchange. Capital Markets Review, 3, 1–19. Koh, F., Chuen, D.L.K, Phoon, K.F, & Seah, E.S (2014). Market Structure and Growth Potential of Singapore REITs. Handbook of Asian Finance. Vol.2. http://dx.doi.org/10.1016/B978-0-12- 800986-4.00004-2. KPMG Budget Highlights Tax Commentary. (2007). 2007 Budget Highlights Tax Commentary. KPMG Budget Highlights Tax Commentary. (2012). 2012 Budget Highlights Tax Commentary. Kuhle, J.L., Walther, C.H & Wurtzebach, C.H. (1986). The Financial Performance of Real Estate Investment Trusts, Journal of Real Estate Research, 1(1), 67-75. Levy & Sarnat (1984), Portfolio and Investment Selection: Theory and Practice (1st edition), Prentice Hall International. Lintner, J. (1965). Security Prices, Risk and Maximal Gains from Diversification. Journal of Finance. 20(4), 587–615. Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. http://doi.org/10.2307/2975974. Modigliani, F., and Modigliani, L. (1997). Risk-Adjusted Performance: How to Measure It and Why?, Journal of Portfolio Management, 23, 45-54. Nai-Chiek, A. (2012). Malaysian Real Estate Investment Trusts (M-REITs) and Financial Crisis: A Performance and Comparative Analysis. International Journal of Research in Commerce and Management, 3(1). 3-18. Newell, G. (2012). Characteristics and Benefits of Asian REITs for Retail Investors. APREA Report. Newell, G., Hwa, T. K., & Acheampong, P. (2002). Listed Property Trusts in Malaysia. Journal of Real Estate Literature, 1(June), 109–118. Newell, G., & Osmadi, A. (2009). The development and preliminary performance analysis of Islamic REITs in Malaysia. Journal of Property Research, 26(4), 329–347. http://doi.org/10.1080/09599916.2009.485417. Newell, G., & Osmadi, A. (2010). Assessing the Importance of Factors Influencing the Future Development of REITs in Malaysia. Pacific Rim Property Research Journal, 16(3), 358–374. http://doi.org/10.1080/14445921.2010.11104309. Newell, G., & Peng, H.W. (2009). The Impact of the Global Financial Crisis on A-REITs. Pacific Rim Property Research Journal, 15(4), 453–470. http://doi.org/10.1080/14445921.2009.11104291. Newell, G., & Wen Peng, H. (2012). The Significance and Performance of Japan REITs in a Mixed-Asset Portfolio. Pacific Rim Property Research Journal, 18(1), 21–34. http://doi.org/10.1080/14445921.2012.11104348. Newell, G., Yue, W., Kwong Wing, C., & Siu Kei, W. (2010). The Development and Performance of REITs In Hong Kong. Pacific Rim Property Research Journal, 16(2), 190–206. Newell, G., Pham, A.K., & Ooi, J. (2015). The Significance and Performance of Singapore REITs in a Mixed-Asset Portfolio, Journal of Property Investment and Finance, 33(1), 45-65. Olanrele, O. O., Said, R., & Daud, M. N. (2014). Benchmark for REIT Performance in Malaysia Using Hedonic Regression Model. International Journal of Economics and Finance, 6(9), 165–176. http://doi.org/10.5539/ijef. v6n9p165. Olanrele, O. O., Said, R., Daud, N., & Ab, R. (2015). N-REIT Performance in the Face of Index Computation and Risk Adjusted Return. Pacific-Rim Real Estate Society Conference, (January), 18–21. Ong, T.S., Teh, B.H., Soh, C.H., & Yan, Y.L. (2012). Malaysian Real Estate Investment Trusts: A Performance and Comparative Analysis. International Journal of Economics and Finance, 4(5), 73-84. Ooi, J. T. L., Newell, G., & Sing, T. (2006). The Growth of REIT Markets in Asia. Journal of Real Estate Literature, 14(2), 203–222. Osmadi, A. (2010). The Malaysian REIT Development and Their Role in a Portfolio. Retrieved from https://www.google.com.my/url?sa= t&rct = j&q = &esrc = s&source= web&cd = 84&cad = rja&uact = 8&ved = 0CDAQFjADOFA&url = http://researchdirect.uws.edu.au/ islandora/ object/uws:8820/datastream/PDF/downloadcitation. pdf&ei=jAPCVKLKOuK7mgX27oIg&usg=AFQjCNHnQ5TU2CV2 PrccsdvOD. Parker, D. (2010). Global Real Estate Investment Trusts: People, Process, and Management (1st edition). West Sussex. Blackwell Publishing. Pham, A. K. (2012). The Dynamics of Returns and Volatility in the Emerging and Developed Asian REIT Markets. Journal of Real Estate Literature, 20(1), 1–19. PWC Malaysian Tax and Business Booklet. (2012). PWC Malaysian Tax and Business Booklet 2011/2012. Reilly, F. K., & Brown, K. C. (2012). Investment Analysis and Portfolio Management. Retrieved from http://www.amazon.com/dp/ 0538482389. Sagalyn, L. B. (1990). Real Estate Risk and Business Cycle - Evidence from Security Markets - Sagalyn L B - 1990.pdf. Journal of Real Estate Research Real Estate Research, 5(2), 203 – 219. Securities Commision. (2015). Securities Commision 2015. Securities Commission, M. (2002). Consultation Paper on Property Trust Funds and Real Estate Investment Trust. Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance. 19(3), 425–442. Sharpe, W.F. (1966). Mutual Fund Performance. Journal of Business, 39(6), 119–138. Smith, K.V. & Shulman, D. (1976). The Performance of Equity Real Estate Investment Trusts, Financial Analyst Journal, 32(5), 61-66. Treynor, J.L.(1965). How to Rate Management Investment Funds. Harvard Business Review 44 (1), 63–75. Titman, S. & Warga, A. (1986). Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach. AREUEA Journal, 14(3), 414-431. Wah, L.S. & Johari, A (2014). Risk-Adjusted Performance of Malaysian Real Estate Investment Trust Funds. Jurnal Pengurusan. 41, 3-11. Xu, Y., & Yiu, C. Y. (2010). The Effects of Tax Reforms on REITs : an International Empirical Study The Effects of Tax Reform on REITs : an International Empirical Study, (January).

Similar Items