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Long-term U.S. infrastructure returns and portfolio selection

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  • Bianchi, Robert J.
  • Bornholt, Graham
  • Drew, Michael E.
  • Howard, Michael F.

Abstract

Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic and industry risk factors from 1927 through 2010. Our findings reveal that the infrastructure returns in recent years may understate the tail-risk that investors could experience over the long-term, however, this tail-risk is commensurate with holding a broad portfolio of U.S. stocks. For mean-variance and mean-CVaR investors, we report the benefits of holding public infrastructure assets in investment portfolios.

Suggested Citation

  • Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
  • Handle: RePEc:eee:jbfina:v:42:y:2014:i:c:p:314-325
    DOI: 10.1016/j.jbankfin.2014.01.034
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    References listed on IDEAS

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    Cited by:

    1. Wouter Thierie & Lieven Moor, 2016. "The characteristics of infrastructure as an investment class," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 277-297, August.
    2. repec:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0286-z is not listed on IDEAS

    More about this item

    Keywords

    Infrastructure; Portfolio management; Risk exposure; Asset pricing;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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