Time-Series Properties and Diversification Benefits of REIT Returns
AbstractThis study examines the potential of real estate investment trusts (REITs) to improve the investment opportunity set available to investors in the United States in an ex ante (i.e., asset allocation) context. The findings show that conditioning on lagged REIT returns offers investors an improved method to predict volatilities and correlations of REITs with other asset classes. The ex ante benefits of the diversification of REITs are shown to be related to ex post performance by using a dynamic asset allocation exercise with ex ante information. These portfolios, on average, involve substantial allocation to REITs and achieve mean-variance tradeoffs close to those attained by fixed-weight unconditional mean-variance portfolios.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 17 (1999)
Issue (Month): 1 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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