The Financial Performance of «Green» REITs Revisited

Alain Coen, Patrick Lecomte and Dorra Abdelmoula

ERES from European Real Estate Society (ERES)

Abstract: 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: Asset pricing models; Illiquidity; Portfolio greenness; REITs; REITs performance (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2017-07-01
New Economics Papers: this item is included in nep-env
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2017_339

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