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Real Estate Investment Funds: Performance and Portfolio Considerations

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Author Info
W. B. Brueggeman
A. H. Chen
T. G. Thihodeau
Abstract

This paper presents the results of a study dealing with a number of issues regarding real estate investment. Utilizing a data set consisting of returns from two of the oldest, continuously operating commingled real estate funds (CREFs), questions relative to investment performance, inflation hedging attributes and diversification benefits are addressed. The methodology used in exploring these issues are variants of the traditional capital asset pricing model (CAPM), extended to consider uncertain inflation (CAPMUI) and an arbitrage pricing model in which real estate performance is judged relative to a more inclusive market index representing larger numbers of substitute investments. Finally, issues relative to portfolio performance are considered by constructing portfolios containing all possible combinations of real estate, stocks and bonds to assess the potential for diversification benefits and portfolio performance. Copyright American Real Estate and Urban Economics Association.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00326
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Publisher Info
Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 12 (1984)
Issue (Month): 3 ()
Pages: 333-354
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:reesec:v:12:y:1984:i:3:p:333-354

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  1. Tracey West & Andrew C. Worthington, 2003. "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M," School of Economics and Finance Discussion Papers and Working Papers Series 160, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  2. Michael J. Sullivan & Steven M. Cassidy & Charles M. Ermer, 1991. "A Note on the Effect of Transactions Costs on Real Estate Investment Return," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 113-117. [Downloadable!]
  3. Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February. [Downloadable!] (restricted)
    Other versions:
  4. Charles H. Wurtzebach & Glenn R. Mueller & Donna Machi, 1991. "The Impact of Inflation and Vacancy on Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 153-168. [Downloadable!]
  5. F.C. Neil Myer & James R. Webb, 1993. "The Effect of Benchmark Choice on Risk-Adjusted Performance Measures for Commingled Real Estate Funds," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 189-204. [Downloadable!]
  6. K.C. Chen & Daniel D. Tzang, 1988. "Interest-Rate Sensitivity of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 13-22. [Downloadable!]
  7. Paul H. Goebel & Kee S. Kim, 1989. "Performance Evaluation of Finite-Life Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 57-70. [Downloadable!]
  8. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1991. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Asian Real Estate Society, vol. 11(1), pages 65-82. [Downloadable!]
  10. Su-Jane Chen & Chengho Hsieh & Timothy W. Vines & Shur-Nuaan Chiou, 1998. "Macroeconomic Variables, Firm-Specific Variables and Returns to REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 269-278. [Downloadable!]
  11. S. Michael Giliberto, 1992. "The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 423-432. [Downloadable!]
  12. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February. [Downloadable!] (restricted)
  13. S. Michael Giliberto, 1990. "Equity Real Estate Investment Trusts and Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 259-264. [Downloadable!]
  14. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326. [Downloadable!]
  15. Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86. [Downloadable!]
  16. Jun Han & Youguo Liang, 1995. "The Historical Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 235-262. [Downloadable!]
  17. David C. Ling, 1993. "Probabilistic Valuation Models and Income Tax Asymmetries with an Application to the Analysis of Passive Loss Restrictions," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 205-220. [Downloadable!]
  18. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May. [Downloadable!] (restricted)
  19. Alan J. Ziobrowski & Richard Curcio, 1991. "Diversification Benefits of U.S. Real Estate to Foreign Investors," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 119-142. [Downloadable!]
  20. Alan J. Ziobrowski & James W. Boyd, 1992. "Leverage and Foreign Investment in U.S. Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 7(1), pages 33-58. [Downloadable!]
  21. Alan J. Ziobrowski & Brigitte J. Ziobrowski, 1993. "Hedging Foreign Investments in U.S. Real Estate with Currency Options," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 27-54. [Downloadable!]
  22. Cheng-Ho Hsieh & C.F. Sirmans, 1991. "REITs as Captive-Financing Affiliates: Impact on Financial Performance," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 179-190. [Downloadable!]
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