UNIGE document Scientific Article
previous document  unige:78392  next document
add to browser collection
Title

The effect of lock-ups on the suggested real estate portfolio weight

Authors
Liljeblom, Eva
Löflund, Anders
Published in International Real Estate Review. 2014, vol. 17, no. 1, p. 1-22
Abstract We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification benefits, the ex ante knowledge of a lock-up in an asset class offering diversification benefits in bull markets (Hung, Onayev and Tu, 2008) may reduce the optimal weight an investor wishes to put in it ex ante. Using the portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line with de Roon, Guo and ter Horst (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio. We find support for our prediction, in the form of lower weights for the illiquid asset once a lock-up is introduced.
Keywords Asset AllocationIlliquidityLock-UpMulti-period Portfolio PolicyREITs
Full text
Article (Published version) (781 Kb) - private document Private access
Structures
Research group Geneva Finance Research Institute (GFRI)
Citation
(ISO format)
HOESLI, Martin E., LILJEBLOM, Eva, LÖFLUND, Anders. The effect of lock-ups on the suggested real estate portfolio weight. In: International Real Estate Review, 2014, vol. 17, n° 1, p. 1-22. https://archive-ouverte.unige.ch/unige:78392

145 hits

0 download

Update

Deposited on : 2015-12-08

Export document
Format :
Citation style :