The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run
AbstractThe poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the mixed-asset portfolio over different investment horizons. The results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end, switching to risk reduction qualities at the top end of the frontier.
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Bibliographic InfoPaper provided by Henley Business School, Reading University in its series Real Estate & Planning Working Papers with number rep-wp2004-06.
Length: 32 pages
Date of creation: 2004
Date of revision:
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mixed asset portfolios; REITs; marginal impact;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
- Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44.
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