Real estate investment trusts
Journal
Journal of Portfolio Management
Journal Volume
31
Journal Issue
SPEC. ISS.
Date Issued
2005-11-09
Author(s)
Abstract
Can investors improve their investment opportunity sets by adding a real estate investment trust (REIT) portfolio to benchmark portfolios sorted by firm size and book-to-market ratio? According to U.S. REIT performance data over 1980-2002, REITs after 1986 improve the meanvariance frontier set. Equity REITs appear to be non-redundant financial assets, which helps to enhance the completeness of the financial market. Mortgage REITs provide no diversification benefits in the sample period.
Type
review