Eres : Digital Library : Works

Paper eres2010_162:
PENSION PLAN ALLOCATION TO REAL ESTATE WHEN PLAN TRUSTEES HAVE REPUTATIONAL UTILITY

id eres2010_162
authors Seah, Kiat-Ying; Shilling, James D.
year 2010
title PENSION PLAN ALLOCATION TO REAL ESTATE WHEN PLAN TRUSTEES HAVE REPUTATIONAL UTILITY
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary 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.
keywords Pension Fund, Real Estate, Reputational Utility, Optimism
series ERES:conference
email rstsky@nus.edu.sg
more http://www.eres2010.org/index.asp?page=papers_download
content file.ppt (452,608 bytes)
discussion No discussions. Post discussion ...
ratings
session Real Estate Investment & Portfolio Management (1)
last changed 2010/08/04 20:47
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