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Indexed by:期刊论文

Date of Publication:2012-10-01

Journal:Advances in Information Sciences and Service Sciences

Included Journals:EI、Scopus

Volume:4

Issue:18

Page Number:601-610

ISSN No.:19763700

Abstract:Global REITs make an impressive development over the past decade, and the performance evaluation methods play a good role in the development. However, the actual performance of REITs is different from the result of those performance evaluation methods during the sub prime mortgage crisis. In that case, it is necessary to establish a new performance evaluation method. In order to establish and develop REITs market in future, the super-efficiency data envelopment analysis (SE-DEA) model is applied in this paper to assess the performance of 15 REITs in Hong Kong, Japan and the United States from 2007 to 2010. The inputs and outputs are set up from the perspectives of the risk indictors and the income indictors, where ES (Expected Shortfall) value representing the risk indictor is calculated by APARCH model based on Skewed-T distribution; the income indictor includes the dividend yield and the stock price income rate. The results indicate that when the stock market has very little or no trend, the relative performance of Hong Kong and Japan REITs are better than the United States' ones, which shows the former excellent ability of daily management; in sub prime mortgage crisis, the relative performance of the United States' REITs are better, which shows its excellent ability of crisis management; Japan REITs would be affected most by sub prime mortgage crisis, and next comes the United States ones and Hong Kong ones. The results have great significance in the establishment of REITs' supervision and management system.