Purpose – Previous studies on the Malaysian securitised real estate market have largely emphasised on performance analysis, whereas the importance of securitised real estate in asset allocation is largely ignored. Therefore, the purpose of this paper is to examine the role of Malaysian property shares and real estate investment trusts (REITs) in a mixedasset portfolio from 1991 to 2006. Design/methodology/approach The meanvariance and downside risk optimisations were utilised to assess the role of REITs and property shares in a mixedasset portfolio allocation. More specifically, the portfolio diversification potential and return enhancement benefits for both assets were examined. Findings The results showed that property shares offer little diversification benefits or portfolio return enhancement, whereas the equally weighted REITs portfolio does provide some diversification benefits and return enhancements under the meanvariance and downside risk frameworks. However, the benefits have diminished in recent years. Besides, the results also revealed that the equally and valueweighted REIT portfolios do behave differently. Research limitations/implications This study has several important implications for investors. Importantly, investors should consider the inclusion of REITs rather than property shares in their portfolios. Originality/value This paper is one of few studies in emerging markets, although Malaysia was the first country to introduce REITs in Asia. Additionally, it could be the first attempt to assess the downside risk of Malaysian securitised real estate.
|Number of pages||23|
|Journal||Journal of Financial Management of Property and Construction|
|Publication status||Published - 6 Nov 2009|
- Real estate
ASJC Scopus subject areas
- Business and International Management
- Economics and Econometrics