Risk-Adjusted Performance and Determinants of Real Estate Investment Trusts (REITs): Evidence from Selected Asia-Pacific Markets

Goh, Xin Ying (2025) Risk-Adjusted Performance and Determinants of Real Estate Investment Trusts (REITs): Evidence from Selected Asia-Pacific Markets. Masters thesis, Tunku Abdul Rahman University of Management and Technology.

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Abstract

This study examines the determinants and performance of REITs in Hong Kong, Malaysia, Singapore, and Thailand. Risk-adjusted performance is evaluated using the Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha from 2016 to 2024. Furthermore, the study investigates the effects of external, internal, and operational factors on REIT returns through system panel regression and dynamic panel regression. A sectoral analysis is also employed to explore differences across diversified, hospitality, industrial, office, and retail REITs. The results on risk-adjusted performance indicate that REITs generally underperformed during and after the COVID-19 pandemic, suggesting that investor preference for safer assets during periods of economic uncertainty. The panel data results suggest that interest rates had a negative influence on REIT returns across all markets during the pandemic. Money supply was found to be positively related to REIT returns in Singapore, while dividend yield showed a negative relationship with returns across all periods in the same market. In the GMM estimation, past returns were negatively significant in multiple models, indicating mean-reverting behaviour. Geographical diversification showed a mixed result, demonstrating how geographical diversification strategies can evolve from risk to advantage depending on market conditions. Inflation had a positive effect on diversified, hospitality, and office REITs, supporting inflation-hedging theory, posits that real estate assets can preserve value in inflationary environments. Keywords: REITs, risk-adjusted performance, panel data analysis, COVID-19, Asia-Pacific markets.