Risk and Real Estate Investment Trust (REITs) Return: Evidence from Listed Public Trust

Abstract

This study examines an association of risk and returns of REITs from Malaysian REITs listed companies. The secondary data for analysis is retrieved from Bloomberg's Database of all 13 listed REITs in the Bursa Malaysia main market for three year period, from 2007 to 2009 with quarterly observation. The dependent variables are average return, expected return using Capital Asset Pricing Model, Sharpe Index, and Jensen Alpha Index. The independent variables represented by standard deviation, beta, trading volume, gross domestic product, inlation rate, and share price. The control variable for this study is type of REITs, whether it  was  categorized  as  Islamic  or  conventional  REITs.  Applying  correlations  and  multiple regression  analysis,  the  results  provide  evidence  on  the  association  between  return  and risk  on  REITs.  This  study  is  also  hoped  to  bring  beneits  to  the  public  listed  company  and shareholders in obtaining the key factors in determining the REITs yield. ");} // --> activate javascript