Journal article
On the Portfolio Properties of Real Estate in Good Times and Bad Times1
Real estate economics, Vol.38(3), pp.529-565
09/01/2010
DOI: 10.1111/j.1540-6229.2010.00276.x
Abstract
Motivated by the theoretical results on strategic asset allocation, we examine the gains in portfolio performance when investors diversify into different asset classes, with particular focus on the timeliness of such gains. Although the various asset classes we analyze yield significant gains in portfolio performance, even in the presence of short-sales constraints, the timeliness of the gains differs considerably across the asset classes. Our key result is that real estate and commodities and precious metals are the two asset classes that deliver portfolio gains when consumption growth is low and/or volatile, that is, when investors really care for such benefits. Our analysis highlights an important metric by which to judge the attractiveness of an asset class in a portfolio context, namely the timeliness of the gains in portfolio performance. Further, our results on the performance of real estate in both good times and bad times suggest that the typical institutional allocation to real estate may underweight the role of the asset class in a diversified portfolio context.
Details
- Title: Subtitle
- On the Portfolio Properties of Real Estate in Good Times and Bad Times1
- Creators
- J. Sa-Aadu - University of IowaJames Shilling - DePaul UniversityAshish Tiwari - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Real estate economics, Vol.38(3), pp.529-565
- Publisher
- Wiley
- DOI
- 10.1111/j.1540-6229.2010.00276.x
- ISSN
- 1080-8620
- eISSN
- 1540-6229
- Number of pages
- 37
- Language
- English
- Date published
- 09/01/2010
- Academic Unit
- Finance
- Record Identifier
- 9984380540802771
Metrics
2 Record Views