How Much in Real Estate? A Surprising Answer

Webb, James R.; Rubens, Jack H.

doi:10.3905/jpm.1987.10

Cited by 41 publications

(19 citation statements)

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“…As Cheng (2001) suggested, optimal real estate allocation in a downside risk framework is around 5Y15%, fairly close to the actual real estate allocation by institutional investors, and much lower than the 20Y43% suggested by studies using mean-variance analysis. (See, for example, Fogler (1984); Webb and Rubens (1987);Giliberto (1992), etc. ) One may notice that all the regressions in Exhibit 3 have low adjusted R-squares and significant intercept terms.…”

Section: Cross-sectional Analysismentioning

confidence: 96%

Asymmetric Risk Measures and Real Estate Returns

Cheng

2005

J Real Estate Finan Econ

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Rational investors distinguish between extremely high and extremely low returns. The measures of investment risk should reflect such asymmetric risk perception. This study presents six asymmetric risk metrics and empirically tests their abilities in explaining the cross-sectional variations of real estate returns. It finds strong evidence that systematic downside risk is associated with a risk premium, and skewness provides significant explanatory power to the variation of cross-sectional property returns. On the other hand, co-skewness does not explain real estate returns well and is not a good systematic risk measure. Copyright Springer Science + Business Media, Inc. 2004asymmetric risk, real estate returns, portfolio management, skewness,

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Section: Cross-sectional Analysismentioning

confidence: 96%

Asymmetric Risk Measures and Real Estate Returns

Cheng

2005

J Real Estate Finan Econ

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“…When such parameters are used to construct efficient portfolios, property is heavily represented in mixed-asset combinations. Webb and Rubens (1987), for instance, find that property should have constituted 91 per cent of a portfolio over the period 1973-84.…”

Section: Literature Reviewmentioning

confidence: 99%

An examination of the role of Geneva and Zurich housing in Swiss institutional portfolios

Hoesli

Hamelink

1997

Journal of Property Valuation and Investment

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2012),"Wealth effect, credit price effect, and the inter-relationships between Hong Kong's property market and stock market", Property Management, Vol. 30 Iss 3 pp. 255-273 http://dx.If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation.

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“…Webb and Rubens (1987) finds that nearly 61% of institutional investors diversify by property type to reduce overall unsystematic risk while maintaining the return of the portfolio. In a more recent survey, Louargand (1992) observes that 89% of institutional investors diversify by property type.…”

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confidence: 98%