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Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio


Korrespondenzadresse: Roland Füss, Union Investment Lehrstuhl Asset Management, EBS Business School, EBS Universität für Wirtschaft und Recht i. Gr., Gustav-Stresemann-Ring 3, 65189 Wiesbaden, Tel.: +49 (0)611 7102–1217, Fax: +49 (0)611 7102–101217, E-Mail: und Felix Schindler, Zentrum für Europäische Wirtschaftsforschung (ZEW), Postfach 10 34 43, 68034 Mannheim, Tel: +49 (0) 621–1235-378, Fax: +49 (0) 621–1235-223, E-Mail:


Abstract: This article examines whether international investors benefit from adding real estate investment trusts (REITs) to a mixed asset portfolio consisting of global stocks, bonds, hedge funds, and commodities. Previous literature has shown that REITs provide a strong co-movement with direct real estate in the long run. We therefore test the diversification potential of international REITs within the strategic asset allocation. Using the Johansen cointegration technique, we show that there is no long-term co-movement between REITs and the other asset classes in the period from January 1990 to December 2009. Thus, the empirical evidence suggests that REITs improve the diversification potential for active investors and those with a long-term investment horizon by simultaneously generating continuous cash flows.