IDEAS home Printed from https://ideas.repec.org/p/afr/wpaper/afres2023-001.html
   My bibliography  Save this paper

Portfolio Diversification of Nigerian REIT: Evidence from an African Real Estate Market

Author

Listed:
  • Daniel Ibrahim Dabara
  • Oluwafemi Timothy Ayodele
  • Augustina Chiwuzie
  • Emmanuel Itodo Daniel

Abstract

This study examines REITs' risk-adjusted performance and diversification benefits in an emerging African property market (Nigeria). The data on the quarterly returns of N-REIT, the Nigerian Federal Government Bonds (FGB), and the stock market's All-Share Index (ASI) were obtained and analysed to reveal their risk-adjusted performance and diversification benefit. Two mean-variance portfolios were developed to assess N-REITs' effect in the mixed asset portfolio. While the first portfolio was unconstrained, the second was constrained to a maximum of 5%. According to the study findings, N-REIT demonstrated superior performance to the other assets. The examination of the unconstrained portfolio showed that increasing the allocation of N-REITs up to 28% had both return and risk reduction effects. An examination of the constrained portfolio showed that with an increased allocation to N-REITs from 0.00% to 0.05%, portfolio risk and return reduced from 2.78% to 2.59% and 12.49% to 10.93%, respectively. Comparing the two portfolios based on the return risk ratios, showed that including N-REIT beyond the 5% threshold might not yield optimal portfolio performance. This study can be a valuable resource for investors seeking to make well-informed investment decisions, particularly in emerging markets such as Africa.

Suggested Citation

  • Daniel Ibrahim Dabara & Oluwafemi Timothy Ayodele & Augustina Chiwuzie & Emmanuel Itodo Daniel, 2023. "Portfolio Diversification of Nigerian REIT: Evidence from an African Real Estate Market," AfRES afres2023-001, African Real Estate Society (AfRES).
    • Handle: RePEc:afr:wpaper:afres2023-001
    as

    Download full text from publisher

    File URL: https://afres.architexturez.net/doc/oai-afres-id-afres2023-001
    Download Restriction: no
    File URL: https://afres.architexturez.net/system/files/AfRES-2023-001.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    asset allocation; Diversification; Investment decisions; N-REIT; Risk-Adjusted Performance;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:afr:wpaper:afres2023-001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/afresea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.