Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes

Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes

This study develops the tax adjusted and unadjusted Malaysian real estate investment trusts (REITs) indexes based on the value weighted approach by using a monthly data of 19 Malaysian REITs from January 1999 to December 2014. It also investigates the performance of the tax adjusted versus unadjuste...

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Main Author: Chunya, Ma
Format: Thesis
Language:eng
eng
Published: 2015
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/5548/1/s817907_01.pdf
https://etd.uum.edu.my/5548/2/s817907_02.pdf
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id my-uum-etd.5548
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institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Abdullah, Nur Adiana Hiau
topic HG Finance
spellingShingle HG Finance
Chunya, Ma
Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
description This study develops the tax adjusted and unadjusted Malaysian real estate investment trusts (REITs) indexes based on the value weighted approach by using a monthly data of 19 Malaysian REITs from January 1999 to December 2014. It also investigates the performance of the tax adjusted versus unadjusted Malaysian REITs indexes and other financial indicators, and diversification benefit of the Malaysian REITs, Kuala Lumpur Composite Index (KLCI), Kuala Lumpur Property Index (KLPI) and Malaysia 3-month Treasury bills based on the Markowitz’s modern portfolio theory. The study finds that the tax adjusted REITs index outperforms the unadjusted REITs index, KLCI and KLPI based on the coefficient of variation (CV). The Malaysia 3-month T-bills provides the lowest CV and it is considered to be the best performing asset for risk averse investors. Furthermore, Malaysian REITs are found to have a lower positive correlation with the KLCI than the KLPI, indicating that it has a higher diversification benefit. Malaysia 3-month Treasury bills are negatively correlated with the other financial indicators
format Thesis
qualification_name masters
qualification_level Master's degree
author Chunya, Ma
author_facet Chunya, Ma
author_sort Chunya, Ma
title Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
title_short Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
title_full Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
title_fullStr Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
title_full_unstemmed Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes
title_sort risk and return analysis of tax adjusted versus unadjusted reits indexes and other financial indexes
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2015
url https://etd.uum.edu.my/5548/1/s817907_01.pdf
https://etd.uum.edu.my/5548/2/s817907_02.pdf
_version_ 1747827947234918400
spelling my-uum-etd.55482021-03-18T06:37:40Z Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes 2015 Chunya, Ma Abdullah, Nur Adiana Hiau Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This study develops the tax adjusted and unadjusted Malaysian real estate investment trusts (REITs) indexes based on the value weighted approach by using a monthly data of 19 Malaysian REITs from January 1999 to December 2014. It also investigates the performance of the tax adjusted versus unadjusted Malaysian REITs indexes and other financial indicators, and diversification benefit of the Malaysian REITs, Kuala Lumpur Composite Index (KLCI), Kuala Lumpur Property Index (KLPI) and Malaysia 3-month Treasury bills based on the Markowitz’s modern portfolio theory. The study finds that the tax adjusted REITs index outperforms the unadjusted REITs index, KLCI and KLPI based on the coefficient of variation (CV). The Malaysia 3-month T-bills provides the lowest CV and it is considered to be the best performing asset for risk averse investors. Furthermore, Malaysian REITs are found to have a lower positive correlation with the KLCI than the KLPI, indicating that it has a higher diversification benefit. Malaysia 3-month Treasury bills are negatively correlated with the other financial indicators 2015 Thesis https://etd.uum.edu.my/5548/ https://etd.uum.edu.my/5548/1/s817907_01.pdf text eng public https://etd.uum.edu.my/5548/2/s817907_02.pdf text eng public masters masters Universiti Utara Malaysia Al-khalialeh, M. A., & Al-Omari, A. M. (2004). The characteristics of the equally weighted market index and the value weighted market index and their implications for market based accounting research: The case of ase. 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