* Another Look at Asian REITs Performance after the Global Financial Crisis, avec Alain Coen (UQAM, Canada), Handbook of Asian Finance, Volume 2, Elsevier (To be published).
The aim of this paper is to revisit the performance of Asian REITs before and after the sub-prime crisis 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 in Asia. Second, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. With these different adjustments, we analyze the persistence and stability of performance measures before and after the crisis for a database of 206 Asian REITs covering 9 countries across Asia-Pacific. Our results shed a new light on risk-adjusted performance measures of Asian REITs during a key period since the regime was introduced in the Asia-Pacific region.