Performance of REITS in comparison to other financial assets

This is the first empirical study examining the impact of dividend tax rate changes on the
performance of Malaysian Real Estate Investment Trusts (REITs). The Malaysian Government announced several tax incentives during the annual budget presentation in 2007, 2009, and 2012. The period of study is between January 1999 and December 2014 and specifically before and after the implementation of the 2007 tax incentives. Malaysian REITs performance are measured with three risk-adjusted performance measures (Sharpe, Treynor, and Jensen). The results indicate that, before 2007, Malaysian REITs showed unfavorable performance against the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. After 2007, Malaysia REITs outperformed
the KLCI, KLPI, value weighted tax-adjusted REITs index, and Malaysia 3-month Treasury Bills. These findings show that the Malaysian government has made the right move in implementing the tax incentive as the REITs industry development has improved ever since its establishment