simultaneously investigate the effects of heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns … that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns while information … asymmetry (ADJPIN) is insignificant when controlling for other variables well known for affecting REIT excess returns …

, semiannual, or annual) used for calculating real estate investment trust (REIT) returns has a significant effect on optimal … historical returns, standard deviations, and correlations (assuming different time intervals) of the various asset classes are … allocations to REITs that are considerably higher. Likewise, using monthly and quarterly returns tends to understate the …

Purpose – Few countries have sufficiently long and detailed returns data for real estate to permit sophisticated … analysis. This paper aims to examine the potential diversification of private real estate investments using returns data for … constructed using total returns, income returns and appreciation returns for office and retail real estate in ten cities within …

Purpose – The purpose of this paper is to provide an analysis of the dependence structure between returns from real …‐ covariance approach is applied, as well as various copula models in order to investigate the dependence structure between returns … the complex dependence structure between the returns of the two asset classes. Instead, a model using non …