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Asset Allocation and Predictability of Real Estate Returns

Asset Allocation and Predictability of Real Estate Returns We examine the issue of optimal asset allocation among three broad classes of assets—Large Stocks (proxied by the S&P composite index); real estate assets (a portfolio of thirty Equity Real Estate Investment Trusts (REITs) traded on major stock exchanges); and the risk-free asset (the one-month T-bill), employing the evidence on their predictability. An active strategy of investing in the assets, using predicted returns from our model outperforms investing in passive strategies, which are combinations of asset classes with fixed weights for the entire period of the study. Thus our superior performance is not due to diversification alone. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Real Estate Research Taylor & Francis

Asset Allocation and Predictability of Real Estate Returns

Journal of Real Estate Research , Volume 7 (4): 16 – Jan 1, 1992

Asset Allocation and Predictability of Real Estate Returns

Journal of Real Estate Research , Volume 7 (4): 16 – Jan 1, 1992

Abstract

We examine the issue of optimal asset allocation among three broad classes of assets—Large Stocks (proxied by the S&P composite index); real estate assets (a portfolio of thirty Equity Real Estate Investment Trusts (REITs) traded on major stock exchanges); and the risk-free asset (the one-month T-bill), employing the evidence on their predictability. An active strategy of investing in the assets, using predicted returns from our model outperforms investing in passive strategies, which are combinations of asset classes with fixed weights for the entire period of the study. Thus our superior performance is not due to diversification alone.

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References (16)

Publisher
Taylor & Francis
Copyright
© 1992 American Real Estate Society
ISSN
2691-1175
DOI
10.1080/10835547.1992.12090686
Publisher site
See Article on Publisher Site

Abstract

We examine the issue of optimal asset allocation among three broad classes of assets—Large Stocks (proxied by the S&P composite index); real estate assets (a portfolio of thirty Equity Real Estate Investment Trusts (REITs) traded on major stock exchanges); and the risk-free asset (the one-month T-bill), employing the evidence on their predictability. An active strategy of investing in the assets, using predicted returns from our model outperforms investing in passive strategies, which are combinations of asset classes with fixed weights for the entire period of the study. Thus our superior performance is not due to diversification alone.

Journal

Journal of Real Estate ResearchTaylor & Francis

Published: Jan 1, 1992

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