PENSION PLAN ALLOCATION TO REAL ESTATE WHEN PLAN TRUSTEES HAVE REPUTATIONAL UTILITY

Kiat Ying Sky Seah and James D. Shilling

ERES from European Real Estate Society (ERES)

Abstract: This paper offers a new way to explain the puzzling stylized fact that there is a large mass of institutional investors with very little assets in real estate. The paper develops a model in which pension fund trustees will generally skew their holdings of assets toward investments with the potential for high returns, afraid that if they do not invest in assets with high returns, they may not achieve their target return. To that end, pension fund trustees will devote very little resources to investing directly in real estate. Further, the paper finds evidence that pension fund trustees will conform to group consensus (which explains why there is considerable consensus among institutional investors with respect to their actual real estate allocations. The paper also finds that portfolio allocations are quite persistent over time.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2010-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2010-162 (text/html)

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:arz:wpaper:eres2010_162

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().