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Performance of REITs after a tax reform: experience from a developing country


Abdullah, Nur Adiana Hiau and Taufil Mohd, Kamarun Nisham and Wong, Woei Chyuan and Abdullah, Fikriyah (2016) Performance of REITs after a tax reform: experience from a developing country. In: 37th International Business Research Conference, 1 - 2 August 2016, Circus Circus Hotel, Las Vegas, USA.

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Abstract

This study examines the performance of Malaysian REITs over the period 1999 to 2014, following the implementation of the tax refoms in 2007, 2009, and 2012. By using the Sharpe (1966), Treynor (1965), and Jensen (1968) measures, most of the M-REITs outperformed the tax-adjusted value-weighted M-REITs index, KLCI, KLPI and the 3-month Malaysia Treasury Bills.This finding shows that investors would benefit from investing in the M-REITs industry.Positive and statistically significant Jensen alphas of M-REITs indicate that the fund managers were either good in selecting undervalued assets or in timing the market. Tax-adjusted value-weighted RElTs index was found to outperform the KLCI, KLPl and the 3-month Malaysia Treasury Bills. In terms of total risk, some of the MREITs are having a higher standard deviation than the KLCI and the tax-ajusted value-weighted M-REITs Index. Most M-REITs have a lower total risk than the KLPI.

Item Type: Conference or Workshop Item (Paper)
Additional Information: ISBN: 9 78- 1-925488-1 4-2
Subjects: H Social Sciences > HJ Public Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Prof. Dr. Nur Adiana Hiau Abdullah
Date Deposited: 15 Dec 2016 04:46
Last Modified: 15 Dec 2016 04:46
URI: http://repo.uum.edu.my/id/eprint/20351

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