Home Builder Stocks in Mixed-Asset Portfolios

Ping Cheng and Marcus Allen

Journal of Real Estate Portfolio Management, 2008, vol. 14, issue 1, 7-20

Abstract: Executive Summary. The purpose of this study is to examine the long-run performance of homebuilder stocks and the potential role of the sector in institutional mixed-asset portfolios. Considering a 30-year history of returns of common stocks, corporate bonds, REITs, T-bills, and homebuilder stocks, homebuilder stocks dramatically outperform all other asset classes, although superior performance is not significant on a risk-adjusted basis. However, the relatively low correlations between home-builder stocks and stocks and bonds make it beneficial to include homebuilder stocks in a mixed-asset portfolio. The study employs a bootstrap procedure to investigate the diversification benefits under the condition of certainty as well as uncertainty. The findings reveal that including homebuilder stocks can improve the mean-variance efficiency of portfolios that contain only traditional financial assets such as common stocks, bonds, and T-bills.

Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2008.12089798 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:repmxx:v:14:y:2008:i:1:p:7-20

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/repm20

DOI: 10.1080/10835547.2008.12089798

Access Statistics for this article

Journal of Real Estate Portfolio Management is currently edited by Peng Liu and Vivek Sah

More articles in Journal of Real Estate Portfolio Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().