REIT-based pure-play portfolios : the case of property types and geographic locations
Name
59820822-MIT.pdf
Description
Full printable version
Size
1.72 MB
Format
Adobe PDF
Checksum (MD5)
6c2146c241327d882cf8ac5da7fa0441
Author(s)
Kim, Eui-Hoe, 1974-
Advisor(s)
Henry O. Pollakowski.
Alternative Title
Real estate investment trust-based pure-play portfolios : the case of property types and geographic locations
Date Issued
2004
Publisher
Massachusetts Institute of Technology
Abstract
Over the last 20 years the REIT industry has made remarkable progress in terms of the magnitude of market capitalization and management performance. However, it is difficult for investors to precisely target their investments because publicly traded REITs diversify their assets across property types and geographic locations. This research has explored the concept and methodology of a REIT-based pure-play portfolio. This portfolio is defined as an optimal combination of long and short positions in publicly traded REITs, such that the portfolio can replicate the investment returns to a specified target sector without any direct exposure to other sectors while minimizing the idiosyncratic risk component of the portfolio. This thesis constructed pure-play portfolios across four property types and four geographic locations using seven years of structural information on publicly traded REITs. For comparison with the privately held property market, NCREIF sub-indices which represent also four property types and four geographic locations are used. In addition to the construction of pure-play portfolios, the performance indices of REIT-based pure-play portfolios and private property-based NCREIF sub-indices are presented.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2004.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaf 44).
Subjects
Urban Studies and Planning.
MIT Department
Massachusetts Institute of Technology. Department of Urban Studies and Planning
Terms of Use
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