Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?
This study looks at the return and risk characteristics of the Diversified and Specialised REITs in the UK over the last four and half years commencing January 2007.The methodologies used in this study incorporate some simple statistic tools, multiple factor Sharpe ratio regression, and portfolio construction and use of efficient frontier models.In summary, the hypothesis that the Specialised REITs can perform better than the Diversified counterpart during recessions can be supported. The Diversified REITs show a moderate return with lower level of volatility. However, the Specialised REITs track the market more closely. The Office REITs and Retail REITs produce significant impact on the risk-adjusted performance.The Specialised REITs portfolio under the equal-weighted portfolio construction produces a better mean return at a similar level of the volatility, than the Diversified REITs portfolio.
Year of publication: |
2013
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Authors: | Lin, Leonard Daniel |
Institutions: | European Real Estate Society - ERES |
Saved in:
freely available
Extent: | application/pdf text/html |
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Series: | ERES. |
Type of publication: | Book / Working Paper |
Source: |
Persistent link: https://www.econbiz.de/10010835215
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