190
Views
8
CrossRef citations to date
0
Altmetric
Research Articles

Diversification Issues in Real Estate Investment

, &
Pages 163-179 | Published online: 18 Jun 2020

  • Bajtelsmit, Vickie L., and Elaine M. Worzala. (1995). “Real Estate Allocation in Pension Fund Portfolios.” Journal of Real Estate Portfolio Management 1(1), 25-38. Real Estate Allocation in Pension Fund Portfolios Journal of Real Estate Portfolio Management 1 25 38
  • Barkham, R., and D. Geltner. (1995). “Price Discovery in American and British Property Markets.” Real Estate Economics 23, 21-44. Price Discovery in American and British Property Markets Real Estate Economics 23 21 44
  • Brinson, G.P., J.J. Dicrmeier, and G.G. Schlarbaum. (1986). “A Composite Portfolio Benchmark for Pension Plans.” Financial Analysts Journal 42(2), 15-24. A Composite Portfolio Benchmark for Pension Plans Financial Analysts Journal 42 15 24
  • Case, K., and R. Shiller. (1989). “The Efficiency of the Market for Single Family Homes.” American Economic Review 79, 125-137. The Efficiency of the Market for Single Family Homes American Economic Review 79 125 137
  • Case, K., and R. Shiller. (1990). “Forecasting Prices and Excess Returns in the Housing Market.” Journal of the American Real Estate and Urban Economics Association 18, 253-273. Forecasting Prices and Excess Returns in the Housing Market Journal of the American Real Estate and Urban Economics Association 18 253 273
  • Chan, Kalok. (1992). “A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market.” Review of Financial Studies 5, 123-152. A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market Review of Financial Studies 5 123 152
  • Chan, K.C., Patric Hendershott, and Anthony Sanders. (1990). “Risk and Return on Real Estate.” Journal of the American Real Estate and Urban Economics Association 18, 431-452. Risk and Return on Real Estate Journal of the American Real Estate and Urban Economics Association 18 431 452
  • Chen, N.F., R. Roll, and S. Ross. (1986). “Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories.” Journal of Business 59, 383-403. Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories Journal of Business 59 383 403
  • Cooperman, L.G., S.G. Einhom, and M. Melnikoff. (1984). Property Revisited: The Role of Property in Pension Fund Investments. New York: Goldman Sachs. Property Revisited: The Role of Property in Pension Fund Investments
  • Corgel, John B., Willard McIntosh, and Steve Ott. (1995). “Real Estate Investment Trusts: A Review of the Financial Economics Literature.” Journal of Real Estate Literature 3(1), 13-43. Real Estate Investment Trusts: A Review of the Financial Economics Literature Journal of Real Estate Literature 3 13 43
  • Diaz, Julian, III, and Marvin L. Wolverton. (1998). “A Longitudinal Examination of the Appraisal Smoothing Hypothesis.” Real Estate Economics 26(2), 349-358. A Longitudinal Examination of the Appraisal Smoothing Hypothesis Real Estate Economics 26 349 358
  • Ennis, R., and P. Burik. (1991). “Pension Fund Real Estate Investment Under Simple Equilibrium Pricing Model.” Financial Analysts Journal 47, 20-30. Pension Fund Real Estate Investment Under Simple Equilibrium Pricing Model Financial Analysts Journal 47 20 30
  • Fama, Eugene, and G. William Schwert. (1977). “Asset Returns and Inflation.” Journal of Financial Economics 5, 115-146. Asset Returns and Inflation Journal of Financial Economics 5 115 146
  • Firstenburg, Paul, Stephen Ross, and Randall Zisler. (1988). “Real Estate: The Whole Story.” Journal of Portfolio Management 14, 22-34. Real Estate: The Whole Story Journal of Portfolio Management 14 22 34
  • Fisher, Jeffery, David Geltner, and Brian Webb. (1994). “Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods.” Journal of Real Estate Finance and Economics 9, 137-164. Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods Journal of Real Estate Finance and Economics 9 137 164
  • Fogler, H.R. (1984), “Twenty Percent in Real Estate: Can Theory Justify It?” Journal of Portfolio Management 10, 6-13. Twenty Percent in Real Estate: Can Theory Justify It? Journal of Portfolio Management 10 6 13
  • Garreau, J. (1981). The Nine Nations of North America. New York: Avon Books. The Nine Nations of North America
  • Garreau, J. (1991). Edge City: Life on the New Frontier. New York: Doubleday. Edge City: Life on the New Frontier
  • Geltner, David. (1989a). “Bias in Appraisal-Based Returns.” Journal of the American Real Estate and Urban Economics Association 17, 338-352. Bias in Appraisal-Based Returns Journal of the American Real Estate and Urban Economics Association 17 338 352
  • Geltner, David. (1989b). “Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal-Based Returns.” Journal of the American Real Estate and Urban Economics Association 17, 463-481. Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal-Based Returns Journal of the American Real Estate and Urban Economics Association 17 463 481
  • Geltner, David. (1991). “Smoothing in Appraisal-Based Returns.” Journal of Real Estate Finance and Economics 4, 327-345. Smoothing in Appraisal-Based Returns Journal of Real Estate Finance and Economics 4 327 345
  • Geltner, David. (1993a). “Estimating Market Values from Appraisal Values without Assuming an Efficient Market.” Journal of Real Estate Research 8, 325-346. Estimating Market Values from Appraisal Values without Assuming an Efficient Market Journal of Real Estate Research 8 325 346
  • Geltner, David. (1993b). “Temporal Aggregation in Real Estate Return Indices.” Journal of the American Real Estate and Urban Economics Association 21, 141-166. Temporal Aggregation in Real Estate Return Indices Journal of the American Real Estate and Urban Economics Association 21 141 166
  • Giliberto, S. Michael. (1990). “Equity Real Estate Investment Trusts and Real Estate Returns.” Journal of Real Estate Research 5, 259-263. Equity Real Estate Investment Trusts and Real Estate Returns Journal of Real Estate Research 5 259 263
  • Giliberto, S. Michael. (1992). “Real Estate Risk and Return: 1991 Survey Results.” Real Estate Research Paper. New York: Salomon Brothers. Real Estate Risk and Return: 1991 Survey Results
  • Giliberto, S. Michael. (1993). “Measuring Real Estate Returns: The Hedged REIT Index.” Journal of Portfolio Management (Spring), 94-99. Measuring Real Estate Returns: The Hedged REIT Index Journal of Portfolio Management 94 99
  • Giliberto, S.M., and R.E. Hopkins. (1990). Metro Employment Trends: Analysis and Portfolio Considerations. New York: Salomon Brothers, May 14. Metro Employment Trends: Analysis and Portfolio Considerations
  • Goetzmann, William N., and Susan M. Wachter. (1995). “Clustering for Real Estate Portfolios.” Real Estate Economics 23, 271-310. Clustering for Real Estate Portfolios Real Estate Economics 23 271 310
  • Gold, Richard B. (1986). Real Estate: Can Institutional Portfolios Be Diversified Without It? Chicago: JMB Institutional Realty Corporation. Real Estate: Can Institutional Portfolios Be Diversified Without It?
  • Gold. Richard B. (1995). “Why the Efficient Frontier for Real Estate is Fuzzy.” Journal of Real Estate Portfolio Management 1, 59-66. Why the Efficient Frontier for Real Estate is Fuzzy Journal of Real Estate Portfolio Management 1 59 66
  • Granger, C. (1969). “Investigating Causal Relationships by Econometric Models and Cross-Spectral Methods.” Econometrica 37, 424-438. Investigating Causal Relationships by Econometric Models and Cross-Spectral Methods Econometrica 37 424 438
  • Grissom, Terry, David Hartzell, and Crocker Liu. (1987), “An Approach to Industrial Real Estate Market Segmentation and Valuation Using the Arbitrage Pricing Paradigm.” Journal of the American Real Estate and Urban Economics Association 15(3), 199-219. An Approach to Industrial Real Estate Market Segmentation and Valuation Using the Arbitrage Pricing Paradigm Journal of the American Real Estate and Urban Economics Association 15 199 219
  • Gyourko, J., and P. Linneman, (1988), “Owner-Occupied Homes, Income-Producing Properties, and REITs as Inflation Hedges: Empirical Findings.” Journal of Real Estate Finance and Economics 4, 347-372. Owner-Occupied Homes, Income-Producing Properties, and REITs as Inflation Hedges: Empirical Findings Journal of Real Estate Finance and Economics 4 347 372
  • Gyourko, Joseph, and Donald Keim. (1992). ”What Does the Stock Market Tell Us About Real Estate Returns?” Journal of the American Real Estate and Urban Economics Association 20, 457-485. Journal of the American Real Estate and Urban Economics Association 20 457 485
  • Hartzell, David. (1986). Real Estate in the Portfolio. New York: Salomon Brothers. Real Estate in the Portfolio
  • Hartzell, David, John S. Hekman, and Mike Miles. (1986). “Diversification Categories in Investment Real Estate.” Journal of the American Real Estate and Urban Economics Association 14, 230-254. Diversification Categories in Investment Real Estate Journal of the American Real Estate and Urban Economics Association 14 230 254
  • Hartzell, David, John S. Hekman, and Mike Miles. (1987). “Real Estate Returns and Inflation.” Journal of the American Real Estate and Urban Economics Association 15, 617-637. Real Estate Returns and Inflation Journal of the American Real Estate and Urban Economics Association 15 617 637
  • Hartzell, David, D. Shulman, and C. Wurtzbach. (1987). “Refining the Analysis of Regional Diversification for Income Producing Real Estate.” Journal of Real Estate Research 2, 85-95. Refining the Analysis of Regional Diversification for Income Producing Real Estate Journal of Real Estate Research 2 85 95
  • Hartzell, David, and James R. Webb. (1988). ”Real Estate Risk and Return Expectations: Recent Survey Results.” Journal of Real Estate Research 3, 31-38. Journal of Real Estate Research 3 31 38
  • Hopkins, R., and B. Testa. (1990). Economic Diversification in Real Estate Portfolios 11. New York: Salomon Brothers. Economic Diversification in Real Estate Portfolios 11
  • Ibbotson, R.G., and L.B. Siegel. (1984). “Real Estate Returns: A Comparison with Other Investments.” Journal of the American Real Estate and Urban Economics Association 12, 219-242. Real Estate Returns: A Comparison with Other Investments Journal of the American Real Estate and Urban Economics Association 12 219 242
  • Irwin, S.H., and D. Landa. (1987). “Real Estate, Futures, and Gold as Portfolio Assets.” Journal of Portfolio Management 13, 29-34. Real Estate, Futures, and Gold as Portfolio Assets Journal of Portfolio Management 13 29 34
  • Jorion, Philippe, and Edwardo Schwartz. (1986). “Integration vs. Segmentation in the Canadian Stock Market.” Journal of Finance 41, 603-613. Integration vs. Segmentation in the Canadian Stock Market Journal of Finance 41 603 613
  • Kallberg, Jarl G., Crocker H. Liu, and Wylie Greig. (1996). “The Role of Real Estate in the Portfolio Allocation Process.” Real Estate Economics 24, 359-378. The Role of Real Estate in the Portfolio Allocation Process Real Estate Economics 24 359 378
  • Liang, Youguo, F.C. Neil Myer, and James R. Webb. (1996). “The Bootstrap Efficient Frontier for Mixed-Asset Portfolios.” Real Estate Economics 24, 247-256. The Bootstrap Efficient Frontier for Mixed-Asset Portfolios Real Estate Economics 24 247 256
  • Liu, Crocker, David Hartzell, Wylie Greig, and Terry Grissom. (1990). “The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence.” Journal of Real Estate Finance and Economics 3, 261-282. The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence Journal of Real Estate Finance and Economics 3 261 282
  • Liu, Crocker, and Jianping Mei. (1992). “The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets.” Journal of Real Estate Finance and Economics 5, 401-418. The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets Journal of Real Estate Finance and Economics 5 401 418
  • Louargand, M. (1992). “A Survey of Pension Fund Real Estate Portfolio Risk Management Practices.” Journal of Real Estate Research 7, 361-373. A Survey of Pension Fund Real Estate Portfolio Risk Management Practices Journal of Real Estate Research 7 361 373
  • Malizia, E., and R. Simons. (1991). “Comparing Regional Classifications for Real Estate Portfolio Diversification.” Journal of Real Estate Research 6, 53-78. Comparing Regional Classifications for Real Estate Portfolio Diversification Journal of Real Estate Research 6 53 78
  • Markowitz, Harry. (1952). “Portfolio Selection.” Journal of Finance 7, 77-91. Portfolio Selection Journal of Finance 7 77 91
  • Mei, Jianping, and Ahyee Lee. (1994). “Is There a Real Estate Factor Premium?” Journal of Real Estate Finance and Economics 9, 113-126. Is There a Real Estate Factor Premium? Journal of Real Estate Finance and Economics 9 113 126
  • Miles, M., and A. Esty. (1982). “How Well Do Commingled Real Estate Funds Perform?” Journal of Portfolio Management 8, 62-68. How Well Do Commingled Real Estate Funds Perform? Journal of Portfolio Management 8 62 68
  • Miles, Mike, and Tom McCue. (1982). “Historic Returns and Institutional Real Estate Portfolios.” Journal of the American Real Estate and Urban Economics Association 10, 184-198. Historic Returns and Institutional Real Estate Portfolios Journal of the American Real Estate and Urban Economics Association 10 184 198
  • Mueller, Glenn R. (1993). “Refining Economic Diversification Strategies for Real Estate Portfolios.” Journal of Real Estate Research 8, 55-68. Refining Economic Diversification Strategies for Real Estate Portfolios Journal of Real Estate Research 8 55 68
  • Mueller, Glenn R., and Barry A. Ziering. (1992). “Real Estate Portfolio Diversification Using Economic Diversification.” Journal of Real Estate Research 7, 375-386. Real Estate Portfolio Diversification Using Economic Diversification Journal of Real Estate Research 7 375 386
  • Murphy, J.A., and R.T Kleiman. (1989). “The Inflation-Hedging Characteristics of Equity REITs: An Empirical Study.” Quarterly Review of Economics and Business 29, 95-101. The Inflation-Hedging Characteristics of Equity REITs: An Empirical Study Quarterly Review of Economics and Business 29 95 101
  • Myer, F.C. Neil, and James R. Webb. (1993). “Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison.” Journal of Real Estate Research 8, 87-106. Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison Journal of Real Estate Research 8 87 106
  • Newell, Graeme, and John MacFarlane. (1995). “Improved Risk Estimation Using Appraisal-Smoothed Real Estate Returns.” Journal of Real Estate Portfolio Management 1, 51-57. Improved Risk Estimation Using Appraisal-Smoothed Real Estate Returns Journal of Real Estate Portfolio Management 1 51 57
  • Norman, Emily J., G. Stacy Sirmans, and John D. Benjamin. (1995). “The Historical Environment of Real Estate Returns.” Journal of Real Estate Portfolio Management 1(1), 1-24. The Historical Environment of Real Estate Returns Journal of Real Estate Portfolio Management 1 1 24
  • Pagliari, Joseph Jr., James R. Webb, and Joseph J. Del Casino. (1995). “Applying MPT to Institutional Real Estate Portfolios: The Good, the Bad, and the Uncertain.” Journal of Real Estate Portfolio Management 1, 67-88. Applying MPT to Institutional Real Estate Portfolios: The Good, the Bad, and the Uncertain Journal of Real Estate Portfolio Management 1 67 88
  • Park, J.Y., D.J. Mullincax, and I.K. Chew. (1990). “Are REITs Inflation Hedges?” Journal of Real Estate Finance and Economics 3, 91-103. Are REITs Inflation Hedges? Journal of Real Estate Finance and Economics 3 91 103
  • Pyhrr, S., F. Cooper, L. Wofford, S. Kapplin, and P. Lapides. (1989). Real Estate Investment: Strategy, Analysis, Decisions (2nd ed.). New York: Wiley. Real Estate Investment: Strategy, Analysis, Decisions
  • Ross, S., and R. Zisler. (1991). “Risk and Return in Real Estate.” Journal of Real Estate Finance and Economics 4, 175-190. Risk and Return in Real Estate Journal of Real Estate Finance and Economics 4 175 190
  • Roulac, Stephen E. (1976). “Can Real Estate Returns Outperform Common Stocks?” Journal of Portfolio Management 2, 26-43. Can Real Estate Returns Outperform Common Stocks? Journal of Portfolio Management 2 26 43
  • Rubens, Jack H., Michael T. Bond, and James R. Webb. (1989). “The Inflation-Hedging Effectiveness of Real Estate.” Journal of Real Estate Research 4, 45-55. The Inflation-Hedging Effectiveness of Real Estate Journal of Real Estate Research 4 45 55
  • Webb, James R. (1984). “Real Estate Investment Acquisition Rules for Life Insurance Companies and Pension Funds: A Survey.” Journal of the American Real Estate and Urban Economics Association 12, 495-520. Real Estate Investment Acquisition Rules for Life Insurance Companies and Pension Funds: A Survey Journal of the American Real Estate and Urban Economics Association 12 495 520
  • Webb, James R., R.J. Curico, and Jack H. Rubens. (1988). “Diversification Gains from Including Real Estate in Mixed-Asset Portfolios.” Decision Sciences 19, 434-452. Diversification Gains from Including Real Estate in Mixed-Asset Portfolios Decision Sciences 19 434 452
  • Webb, James R., and Jack H. Rubens. (1986). “Portfolio Considerations in the Valuation of Real Estate.” AREUEA Journal 14(3), 465-495. Portfolio Considerations in the Valuation of Real Estate AREUEA Journal 14 465 495
  • Webb, James R., and Jack H, Rubens. (1987). “How Much in Real Estate? A Surprise Answer.” Journal of Portfolio Management 13, 10-14. How Much in Real Estate? A Surprise Answer Journal of Portfolio Management 13 10 14
  • Wheaton, W.C. (1987). “The Cyclical Behavior of the National Office Market.” Journal of the American Real Estate and Urban Economics Association 15, 281-299. The Cyclical Behavior of the National Office Market Journal of the American Real Estate and Urban Economics Association 15 281 299
  • Wurtzebach, C.H. (1988). The Portfolio Construction Process. Newark, NJ: Prudential Real Estate Investors. The Portfolio Construction Process
  • Wurtzebach, C.H., G.R. Mueller, and D. Machi. (1991). “The Impact of Inflation and Vacancy on Real Estate Returns.” Journal of Real Estate Research 6, 153-168. The Impact of Inflation and Vacancy on Real Estate Returns Journal of Real Estate Research 6 153 168
  • Yobaccio, Elizabeth, Jack H. Rubens, and David C. Ketcham. (1995). “The Inflation-Hedging Properties of Risk Assets: The Case of REITs.” Journal of Real Estate Research 10, 279-296. The Inflation-Hedging Properties of Risk Assets: The Case of REITs Journal of Real Estate Research 10 279 296
  • Young. Michael S., and Richard A. Graff. (1995). “Real Estate is Not Normal: A Fresh Look at Real Estate Return Distributions.” Journal of Real Estate Finance and Economics 10, 225-259. Real Estate is Not Normal: A Fresh Look at Real Estate Return Distributions Journal of Real Estate Finance and Economics 10 225 259
  • Ziering, Barry, and Robert Hess. (1995). “A Further Note on Economic Versus Geographic Diversification.” Real Estate Finance (Fall), 53-60. A Further Note on Economic Versus Geographic Diversification Real Estate Finance 53 60
  • Ziobrowski, Alan J., Ping Cheng, and Brigitte J. Ziobrowski. (1997). “Using a Bootstrap to Measure Optimum Mixed-Asset Portfolio Composition: A Comment.” Real Estate Economics 25(4), 695-705. Using a Bootstrap to Measure Optimum Mixed-Asset Portfolio Composition: A Comment Real Estate Economics 25 695 705
  • Ziobrowski, Brigitte J., and Alan J. Ziobrowski. (1997). “Higher Real Estate Risk and Mixed-Asset Portfolio Performance.” Journal of Real Estate Portfolio Management 3(2), 107-115. Higher Real Estate Risk and Mixed-Asset Portfolio Performance Journal of Real Estate Portfolio Management 3 107 115

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.