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

This study examines an association of risk and returns of REITs from Malaysian REITslisted companies. The secondary data for analysis is retrieved from Bloomberg's Databaseof all 13 listed REITs in the Bursa Malaysia main market for three year period, from 2007 to2009 with quarterly observation. The dependent variables are average return, expected returnusing Capital Asset Pricing Model, Sharpe Index, and Jensen Alpha Index. The independentvariables 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, whetherit was categorized as Islamic or conventional REITs. Applying correlations and multipleregression analysis, the results provide evidence on the association between return andrisk on REITs. This study is also hoped to bring beneits to the public listed company andshareholders in obtaining the key factors in determining the REITs yield. activate javascript