The Significance and Performance of South Korean REITs in a Mixed-Asset Portfolio

This paper examines the risk and return characteristics of K-REITs and the correlation of Korean real estate investment trusts (K-REITs) to other asset classes and their diversification potential in a mixed-asset portfolio. The data were monthly total returns from January 2002 to December 2010 for S...

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Veröffentlicht in:Journal of real estate literature 2011-01, Vol.19 (2), p.373-390
1. Verfasser: Pham, Anh Khoi
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper examines the risk and return characteristics of K-REITs and the correlation of Korean real estate investment trusts (K-REITs) to other asset classes and their diversification potential in a mixed-asset portfolio. The data were monthly total returns from January 2002 to December 2010 for South Korean REITs, bonds, shares, and property companies. The results reveal that K-REITs performed poorly over the entire period as compared to shares, bonds, and property companies. Consequently, K-REITs did not represent a substantial weight in a mixed-asset portfolio. However, K-REITs have a low correlation with shares and property companies, suggesting some level of diversification potential for share and property investors.
ISSN:0927-7544
1573-8809
DOI:10.1080/10835547.2011.12090300