Asset Allocation and Predictability of Real Estate Returns
AbstractWe examine the issue of optimal asset allocation among three broad classes of assetsÐÐLarge Stocks (proxied by the S&P composite index); real estate assets (a portfolio of thirty Equity Real Estate Investment Trusts (REITs) traded on major stock exchanges); and the risk-free asset (the one-month T-bill), employing the evidence on their predictability. An active strategy of investing in the assets, using predicted returns from our model outperforms investing in passive strategies, which are combinations of asset classes with fixed weights for the entire period of the study. Thus our superior performance is not due to diversification alone.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 7 (1992)
Issue (Month): 4 ()
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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