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Paper: eres2017_339
| Paper title: | The Financial Performance of «Green» REITs Revisited |
| Authors: | Coen, Alain; Patrick Lecomte, Dorra Abdelmoula |
| 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. |
| Type: | paper session |
| Year of publication: | 2017 |
| Keywords: | REITs; Illiquidity; Portfolio greenness; Asset pricing models; REITs performance |
| Series: | ERES:conference |
| Download paper: | |
| Citation: | Coen, Alain; Patrick Lecomte, Dorra Abdelmoula (2017). The Financial Performance of «Green» REITs Revisited. 24th Annual European Real Estate Society Conference in Delft, Netherlands, http://itc.scix.net/paper/eres2017_339 |
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