Measuring the Significance of Diversification Gains

Jack H. Rubens, David A. Louton () and Elizabeth J. Yobaccio ()
Additional contact information
Jack H. Rubens: Bryant College Smithfield, Rhode Island 02917, http://www.bryant.edu/
David A. Louton: Bryant College Smithfield, Rhode Island 02917, http://www.bryant.edu/
Elizabeth J. Yobaccio: Bryant College Smithfield, Rhode Island 02917, http://www.bryant.edu/

Journal of Real Estate Research, 1998, vol. 16, issue 1, pages 73-86

Abstract: This article investigates whether investing in alternative investment media provides statistically significant increases in portfolio performance. Employing methodology introduced by Kandel and Stambaugh (1987) and Gibbons, Ross and Shanken (1989), we measure the statistical significance of diversification gains for portfolios containing real and financial domestic assets, as well as international debt and equity issues. The NCREIF real estate series is further examined using the Geltner (1993) adjustment to the risk measure. In the 1978B93 sample period, neither international assets nor unadjusted real estate ever result in statistically significant increases in portfolio performance. When the Geltner adjustment is made, the allocation to real estate is substantially reduced in the expanded portfolio and also fails to result in a statistically significant increase in portfolio performance. These results may help to resolve the paradox between current portfolio allocations to real estate in practice and those suggested in the literature.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1998
View list of references View citations in EconPapers

Downloads: (external link)
http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol16n01/v16p073.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jre:issued:v:16:n:1:1998:p:73-86

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://aux.zicklin.b ... u/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society
Address: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Series data maintained by JRER Graduate Assistant/Webmaster ().