Eres : Digital Library : Works

Paper eres2017_339:
The Financial Performance of «Green» REITs Revisited

id eres2017_339
authors Coen, Alain; Patrick Lecomte, Dorra Abdelmoula
year 2017
title The Financial Performance of «Green» REITs Revisited
source 24th Annual European Real Estate Society Conference in Delft, Netherlands
summary The aim of this paper is to compare the financial performance of «green» and «non-green» US REITs from January 2010 to February 2016 using risk-adjusted performance measures based on multi-factor models. First, we use performance measures (including the Generalized Treynor Ratio) able to capture the variety of systematic risk sources related to real estate. Second, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. Third, to check the robustness of our results we apply the methodology of Getmansky, Lo and Makarov to deal with the problem of illiquidity. With these different adjustments, we analyze the relative performance of «green» US REITs. Our results shed a new light on risk-adjusted performance measures of REITs and report that «non-green» US REITs tend to perform better during this period.
keywords REITs; Illiquidity; Portfolio greenness; Asset pricing models; REITs performance
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
ratings
session Green Investments
last changed 2017/11/18 16:20
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