期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2021
卷号：11
期号：6
页码：453-474
DOI：10.6007/IJARBSS/v11-i6/10172
语种：English
出版社：Human Resource Management Academic Research Society
摘要：This study analyses the effectiveness of risk diversification and investment performance between M-REITs’ and J-REITs’ by comparing the diversification measures (unsystematic risk divided by total risk and one-minus R squared) including their respective Sharpe Ratio, Treynor Ratio and Jensen’s Alpha calculated on each REITs. The study period for M-REITs’ and J-REITs extends from 2008 to 2017. Results indicate that M-REITs’ performed better than J-REITs’ in terms of Sharpe ratio, Treynor ratio, and Jensen’s Alpha. Total risk of J-REITs’ are higher than M-REITs’. The Beta values for both M-REITs’ and J-REITs’ are less than one, implying that both categories of REITs are less risky than the market index. M-REITs’ have lower R-Squared values than S-REITs’, which suggest that M-REITs’ are poorly diversified against J-REITs’ and therefore, M-REITs’ have more diversification opportunities. The diversification measures computed for M-REITs’ are higher than J-REITs’ and would imply that M- REITs’ have better rate of returns if M-REITs’ diversify their risk (higher risk diversification benefits). The findings from this study aims to help investors to make better investment decision when investing in M-REITs’ and J-REITs’. The findings from this study aims to assist investors determine better investment decisions when considering investing in M-REITs’ and J-REITs’.
