重新审视绿色房地产投资信托基金的财务表现

Q2 Economics, Econometrics and Finance

Journal of Real Estate Portfolio Management Pub Date : 2018-04-10 DOI:10.1080/10835547.2018.12090009

A. Coën, P. Lecomte, D. Abdelmoula

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引用次数: 10

摘要

本文的目的是利用基于多因素模型的风险调整绩效指标，比较2010年1月至2016年2月期间“绿色”和“非绿色”美国REITs的财务绩效。首先，我们使用能够捕获与房地产相关的各种系统风险源的绩效度量(包括广义特雷诺比率)。其次，我们实施无偏估计来纠正资产定价模型中由变量误差(EIV)引起的计量经济学偏差。第三，为了检验结果的稳健性，我们采用了Getmansky、Lo和Makarov(2004)的方法来处理非流动性问题。通过这些不同的调整，我们分析了绿色美国房地产投资信托基金的相对表现。我们的研究结果表明，非绿色的美国房地产投资信托基金在此期间的表现往往优于绿色房地产投资信托基金。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Financial Performance of Green Reits Revisited

Executive Summary The aim of this paper is to compare the financial performance of “green” and “non-green” U.S. 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 (2004) to deal with the problem of illiquidity. With these different adjustments, we analyze the relative performance of green U.S. REITs. Our results show that non-green U.S. REITs tend to perform better during this period than green REITs.

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来源期刊

Journal of Real Estate Portfolio Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

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期刊介绍： The Journal of Real Estate Portfolio Management (JREPM) is a publication of the American Real Estate Society (ARES). Its purpose is to disseminate applied research on real estate investment and portfolio management.