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Paper eres2013_3:
Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?

id eres2013_3
authors Lin, Leonard Daniel
year 2013
title Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?
source 20th Annual European Real Estate Society Conference in Vienna, Austria
summary This study looks at the return and risk characteristics of the Diversified and Specialised REITs in the UK over the last four and half years commencing January 2007.The methodologies used in this study incorporate some simple statistic tools, multiple factor Sharpe ratio regression, and portfolio construction and use of efficient frontier models.In summary, the hypothesis that the Specialised REITs can perform better than the Diversified counterpart during recessions can be supported. The Diversified REITs show a moderate return with lower level of volatility. However, the Specialised REITs track the market more closely. The Office REITs and Retail REITs produce significant impact on the risk-adjusted performance.The Specialised REITs portfolio under the equal-weighted portfolio construction produces a better mean return at a similar level of the volatility, than the Diversified REITs portfolio.
keywords Specialised REITs, Diversified REITs, Portfolio construction, Credit crunch, REIT return-risk characteristics
series ERES:conference
type paper session
content file.pdf (1,236,332 bytes)
discussion No discussions. Post discussion ...
session P-9: Real Estate Portfolio Management
last changed 2013/07/01 06:57
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