Recent studies have documented an asymmetry in the market-beta of equity Real Estate Investment Trusts (REITs) based on high and low Gross Domestic Product (GDP) growth states, as well as in bull and bear stock markets. The asymmetry has been deemed a puzzle (Chatrath <italic>et al</italic>., 2000; Chiang <italic>et al</italic>.,...

This study tests the impact of diversification strategies on the cash flows, expenses, risks and returns of REITs in Asia. Hirschman-Herfindahl indices (HHI) are computed based on 2281 properties owned by 63 sample Asian REITs for the periods from 2002 to 2007 to measure the levels of...