MARKET RETURN AND INTEREST RATE SIGNIFICANCE ON MALAYSIAN REAL ESTATE INVESTMENT TRUSTS
Return analysis on Real Estate Investment Trusts (REITs) has been widely studied in the developed country. In Malaysia however, research on REITs mainly focuses on performance analysis. Hence, this study tries to fill the gap by examining the significance of REITs returns towards the stock market an...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2011
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/88459/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=50878 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | Return analysis on Real Estate Investment Trusts (REITs) has been widely
studied in the developed country. In Malaysia however, research on REITs mainly
focuses on performance analysis. Hence, this study tries to fill the gap by
examining the significance of REITs returns towards the stock market and interest
rate changes. 12 REITs company were used as samples to construct a balanced
panel regression for the period of 2005-2007. Consistent with prior research,
results provide and evidence that market returns, short-term interest rates and
long-term interest rates does have an impact on REITs returns. Market returns
shows a consistent positive and significant value. Both short-and long-term
interest rates are found to be consistently negative and significant to REITs
returns. In regards to firm�s characteristics namely size, leverage and propertytype
diversification, not single characteristics were found to be responsive to the
market return coefficient and both short-and long-term interest rates coefficient. |
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