Measuring the Significance of Diversification Gains

This article investigates whether investing in alternative investment media provides statistically significant increases in portfolio performance. Employing methodology introduced by Kandel and Stambaugh (1987) and Gibbons, Ross and Shanken (1989), we measure the statistical significance of diversif...

Full description

Saved in:
Bibliographic Details
Published in:The Journal of real estate research 1998-01, Vol.16 (1), p.73-86
Main Authors: Rubens, Jack H., Louton, David A., Yobaccio, Elizabeth J.
Format: Article
Language:English
Subjects:
Bond portfolios
Commercial real estate
Corporate bonds
Debt
Diversification
Equity
Financial investments
Financial portfolios
Hedging
International finance
Investment
Investment policy
Investment portfolios
Portfolio diversification
Portfolio investments
Portfolio management
Portfolio performance
Real estate
Real estate appraisal
Real estate indices
Statistical significance
Stock exchanges
Stock market indices
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This article investigates whether investing in alternative investment media provides statistically significant increases in portfolio performance. Employing methodology introduced by Kandel and Stambaugh (1987) and Gibbons, Ross and Shanken (1989), we measure the statistical significance of diversification gains for portfolios containing real and financial domestic assets, as well as international debt and equity issues. The NCREIF real estate series is further examined using the Geltner (1993) adjustment to the risk measure. In the 1978–93 sample period, neither international assets nor unadjusted real estate ever result in statistically significant increases in portfolio performance. When the Geltner adjustment is made, the allocation to real estate is substantially reduced in the expanded portfolio and also fails to result in a statistically significant increase in portfolio performance. These results may help to resolve the paradox between current portfolio allocations to real estate in practice and those suggested in the literature.
ISSN:0896-5803
2691-1175
DOI:10.1080/10835547.1998.12090937