Diversification Benefits from the Introduction of REITs in Korea
Diversification Benefits from the Introduction of REITs in Korea
김찬웅(Winona State University); 김영곤(강남대학교); Gabriel Manrique(Winona State University)
23권 3호, 1593~1607쪽
초록
This study investigated the potential diversification benefits for Korean investors from the introduction of REITs in Korea. We found that during the first period (2002), the REITs could not provide Korean investors with any diversification gains. However, during the latter period (2004-2007), we found that REITs could have provided Korean investors with significant diversification gains. The portfolio with REITs could improve 59% based on the Sharpe ratio and 11.6% based on the M2measure. It appears that REITs have proven usefulness in a diversified portfolio. This study would be the first to document such a benefit from the introduction of REITs in Korea.
Abstract
This study investigated the potential diversification benefits for Korean investors from the introduction of REITs in Korea. We found that during the first period (2002), the REITs could not provide Korean investors with any diversification gains. However, during the latter period (2004-2007), we found that REITs could have provided Korean investors with significant diversification gains. The portfolio with REITs could improve 59% based on the Sharpe ratio and 11.6% based on the M2measure. It appears that REITs have proven usefulness in a diversified portfolio. This study would be the first to document such a benefit from the introduction of REITs in Korea.
- 발행기관:
- 한국산업경제학회
- 분류:
- 경제학