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The Financial Performance of Green Reits Revisited

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  • Alain Coën
  • Patrick Lecomte
  • Dorra Abdelmoula

Abstract

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.

Suggested Citation

  • Alain Coën & Patrick Lecomte & Dorra Abdelmoula, 2018. "The Financial Performance of Green Reits Revisited," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 24(1), pages 95-105, January.
    • Handle: RePEc:taf:repmxx:v:24:y:2018:i:1:p:95-105
    DOI: 10.1080/10835547.2018.12090009
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