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The case for REITs in the mixed-asset portfolio in the short and long run

Lee, S. and Stevenson, S., (2004) The case for REITs in the mixed-asset portfolio in the short and long run. Working Papers in Real Estate & Planning. 06/04. Working Paper. University of Reading, Reading. pp32.

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The 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.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:21524
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.


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