The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run

Stephen Lee and Simon Stevenson

Real Estate & Planning Working Papers from Henley Business School, University of Reading

Abstract: The poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the mixed-asset portfolio over different investment horizons. The results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end, switching to risk reduction qualities at the top end of the frontier.

Keywords: mixed asset portfolios; REITs; marginal impact (search for similar items in EconPapers)
Pages: 32 pages
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2004-06

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