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Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio

Roland Füss & Felix Schindler

abstract This article examines whether international investors benefit from adding real estate investment trusts (REITs) to a mixed asset portfolio consisting of global stocks, bonds, hedge funds, and commodities. Previous literature has shown that REITs provide a strong co-movement with direct real estate in the long run. We therefore test the diversification potential of international REITs within the strategic asset allocation. Using the Johansen cointegration technique, we show that there is no long-term co-movement between REITs and the other asset classes in the period from January 1990 to December 2009. Thus, the empirical evidence suggests that REITs improve the diversification potential for active investors and those with a long-term investment horizon by simultaneously generating continuous cash flows.
   
type journal paper
   
keywords
   
language Deutsch
kind of paper journal article
date of appearance 22-6-2011
journal Perspektiven der Wirtschaftspolitik
publisher Wiley Blackwell (Oxford)
ISSN 1465-6493
ISSN (online) 1468-2516
DOI 10.1111/j.1468-2516.2011.00362.x
volume of journal 12
number of issue 2
page(s) 170-191
review double-blind review
   
citation Füss, R., & Schindler, F. (2011). Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio. Perspektiven der Wirtschaftspolitik, 12(2), 170-191, DOI:10.1111/j.1468-2516.2011.00362.x.