Chen, Hsuan ChiHsuan ChiChenKENG-YU HOCHIU-LING LUWu, Cheng HuanCheng HuanWu2019-10-022019-10-022005-11-0900954918https://scholars.lib.ntu.edu.tw/handle/123456789/425845Can 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.review2-s2.0-27544506559https://api.elsevier.com/content/abstract/scopus_id/27544506559