Purpose – Understanding correlations between stock and direct real estate returns, which is the key factor that determines diversification benefits in a portfolio, helps formulate and implement better investors' asset allocation and risk management strategies. The past studies find that direct...

Analyses the diversification effects of the portfolio holdings of ten selected listed property investment companies on the co‐movement of the stock prices for an 11‐year period from 1983 to 1994. The long‐term common trends in the sample securitized property companies are tested using the...