多资产世界中的上市房地产:它能增加价值吗?

IF 0.4 Q4 BUSINESS, FINANCE
J. Jabłecki
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引用次数: 0

摘要

虽然房地产现在已经成为机构投资者中一个公认的资产类别,但到目前为止,绝大多数房地产投资都是在私人市场而不是公开市场(房地产投资信托,即房地产投资基金,或房地产公司的股票)。在这种背景下,在关于公共投资与私人投资相对回报的持续辩论中,本文提出了一个问题,即全球上市房地产的历史回报在多大程度上可以用成熟的市场和替代风险溢价来解释。结果表明,模型隐含的“超额收益”实际上为零,这表明公共房地产为优化结构的多资产投资组合增值的空间有限。然而,由于禁止杠杆、做空或排除某些类别的股票等制度或法律限制,投资者投资组合的设计或组成是次优的,分配给REITs可能会提高夏普比率,尤其是当投资者可以在选择REITs时运用技能和竞争优势时。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Listed Real Estate in a Multi-Asset World: Does It Add Value?
While real estate has by now become a well-established asset class among institutional investors, the vast majority of real estate investment so far has been in private rather than public markets (real estate investment trusts, i.e., REITs, or shares in real-estate companies). Against this background and amid an ongoing debate about the relative rewards of public versus private investments, this article asks how much of the historical return on global listed real estate can be explained by well-established market and alternative risk premiums. The results indicate that model-implied “excess returns” are effectively zero, suggesting that there is limited scope for public real estate to add value to an optimally structured multi-asset portfolio. However, to the extent that the design or composition of investors’ portfolios is sub-optimal—due to such institutional or legal constraints as prohibition of leverage, shorting, or exclusions of some categories of stocks—allocating to REITs might improve Sharpe ratios, especially when investors can deploy skill and competitive edge in selecting REITs.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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