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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:English
English
Published: 2015
Subjects:
HG Finance
Online Access:http://etd.uum.edu.my/5548/
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spelling my.uum.etd.55482021-03-18T06:37:40Z http://etd.uum.edu.my/5548/ Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes Chunya, Ma 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 NonPeerReviewed text en /5548/1/s817907_01.pdf text en /5548/2/s817907_02.pdf Chunya, Ma (2015) Risk and return analysis of tax adjusted versus unadjusted REITS indexes and other financial indexes. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
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
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
publishDate 2015
url http://etd.uum.edu.my/5548/
_version_ 1695533679502163968
score 13.211869

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