The role of Singapore REITs in a downside risk asset allocation framework

Journal of Real Estate Portfolio Management

Volumn 9, Issue 3, 2003, Pages 219-235

  Sing, Tien F ^a   Ling, Sze C ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3543013709     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (24)

1. Benjamin, J. D., G. S. Sirmans and E. N. Zietz, Returns and Risk on Real Estate and Other Investment: More Evidence, Journal of Real Estate Portfolio Management, 2001, 7:3, 183-214.
2. Brueggeman, W. B., A. H. Chen and T. G. Thibodeau, Real Estate Investment Funds: Performance and Portfolio Considerations, Journal of the American Real Estate and Urban Economics Association, 1984, 12:3, 333-54.
3. Capozza, D. R. and S. Lee, Property Type, Size and REIT Value, Journal of Real Estate Research, 1995, 10, 363-79.
4. Capozza, D. R. and P. J. Seguin, Managerial Style and Firm Value, Real Estate Economics, 1998, 23, 131-50.
5. Capozza, D. R. and P. J. Seguin, Focus, Transparency, and Value: The REIT Evidence, Real Estate Economics, 1999, 27, 587-619.
6. Chen, J. and R. Peiser, The Risk and Return Characteristics of REITs - 1993-1997, Real Estate Finance, 1999, Spring, 61-8.
7. Clayton, J. and G. MacKinnon, The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns, Journal of Real Estate Portfolio Management, 2001, 7:1, 43-54.
8. Corgel, J., W. McIntosh and S. Ott, Real Estate Investment Trusts: A Review of the Financial Economics Literature, Journal of Real Estate Literature, 1995, 3, 13-43.
9. Ghosh, C., M. Miles and C. F. Sirmans, Are REITs Stocks?, Real Estate Finance, 1996, Fall, 46-53.
10. Glascock, J. L., C. Lu and R. W. So, Further Evidence on the Integration of REIT, Bond, and Stock Returns, Journal of Real Estate Finance and Economics, 2000, 20:2, 177-94.
11. Goldstein, M. and E. Nelling, REIT Return Behavior in Advancing and Declining Markets, Real Estate Finance, 1999, 15, 68-77.
12. Gyourko, J. and E. Nelling, Systematic Risk and Diversification in the Equity REIT Market, Real Estate Economics, 1996, 24:4, 493-515.
13. Harlow, W. V. and R. K. S. Rao, Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence, Journal of Financial and Quantitative Analysis. 1989, 24:3, 285-309.
14. Hartzell, D. J., H. M. Stivers, M. K. Ludgin and T. J. Pire, An Updated Look at Constructing a Public and Private Real Estate Portfolio, Real Estate Finance, 1999, Summer, 49-57.
15. Liang, Y. and W. McIntosh, REIT Style and Performance, Journal of Real Estate Portfolio Management, 1998, 4:1, 69-78.
16. Liang, Y., W. McIntosh and J. R. Webb, Intertemporal Changes in the Riskiness of REITs, Journal of Real Estate Research, 1995, 10:4, 427-43.
17. Liang, Y. and W. Whitaker, Style Attributes of Equity REITs, Real Estate Finance, 2000, Spring, 31-6.
18. Mueller, G. R., K. R. Pauley and W. K. Morill, Should REITs Be Included in a Mixed-Asset Portfolio?, Real Estate Finance, 1994, Spring, 23-8.
19. Mueller, G. R. and S. Laposa, PREIT Returns: A Property-Type Perspective, Real Estate Finance, 1996, Spring, 45-55.
20. Norman, E. J., G. S. Sirmans and J. D. Benjamin, The Historical Environment of Real Estate Returns, Journal of Real Estate Portfolio Management, 1995, 1:1, 1-24.
21. Seiler, M., J. R. Webb and F. C. N. Myer, Diversification Issues in Real Estate Investment, Journal of Real Estate Literature, 1999, 7, 163-79.
22. Sing, T. F. and S. E. Ong, Asset Allocation in a Downside Risk Framework, Journal of Real Estate Portfolio Management, 2000, 6:3, 213-23.
23. Sirmans, G. S. and C. F. Sirmans, The Historical Perspective of Real Estate Returns. Journal of Portfolio Management, 1987, 13:3, 22-31.
24. Young, M. S., REIT Property-Type Sector Integration, Journal of Real Estate Research, 2000, 19:1, 3-21.