Indirekte Immobilienanlagen im Portfoliomanagement am Beispiel des deutschen Marktes

Springer Science and Business Media LLC - Tập 18 - Trang 181-198 - 2004
Roland Hübner1, Markus S. Schwaiger2, Gerhard Winkler3
1Lehrstuhl für BWL-Schwerpunkt Finanzierung, Universität Potsdam, Potsdam
2Ordinariat für Betriebliche Finanzierung, Wirtschaftsuniversität Wien, Wien
3Institut für Kreditwirtschaft, Wirtschaftsuniversität Wien, Wien

Tài liệu tham khảo

BECK, M. (2000): “Benchmark für die Performance-Messung einer Aktie”, in: Europäische Immobilien-Aktien, Bankhaus Ellwanger & Geiger (Hrsg.), Stuttgart, S. 190–206. CHANDRASHEKARAN, V. (1999): “Time-Series Properties and Diversification Benefits of REIT Returns”, Journal of Real Estate Research, No. 1/2, pp. 91–112. CHENG, P. and Y. LIANG (2000): “Optimal diversification: Is it really worthwhile?”, Journal of Real Estate Portfolio Management, 6, pp. 7–16. EICHHOLTZ, P. M. A. (1996): “Does International Diversification Work Better for Real Estate than for Stocks and Bonds?”, Financial Analysts Journal, January–February, pp. 56–62. ENNIS, R. M. and P. BURIK (1991): “Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model”, Financial Analysts Journal, May–June, pp. 20–30. FIRSTENBERG, P. M., S. A. ROSS and R. C. ZISLER (1988): “The whole story”, Real estate, pp. 22–34. FISHBURN, P. C. (1977): “Mean-Risk Analysis with Risk Associated with Below-Target Returns”, The American Economic Review, 67(2), pp. 116–126. FOGLER, H. R. (1984): “20% in Real Estate: Can Theory Justify It?”, Journal of Portfolio Management, Winter, pp. 6–13. GELTNER, D. (1989): “Bias in Appraisal-Based Returns”, Journal of the American Real Estate and Urban Economics Association, 17, pp. 338–352. GELTNER, D. (1991): “Smoothing in Appraisal-Based Returns”, Journal of Real Estate Finance and Economics, 4:3, pp. 327–45. GIBBONS, M. R., S. A. Ross and J. SHANKEN (1989): “A Test of the Efficiency of a Given Portoflio”, Econometrica, 57, pp. 1121–1152. GILIBERTO, S. M. (1993): “Measuring Real Estate Returns: The Hedged REIT Index”, Journal of Portfolio Management, 19(3), pp. 94–99. GORDON, J. N., T. A. CANTER and J. A. WEBB (1998): “The Effect of International Real Estate Securties on Portfolio Diversification”, Journal of Real Estate Portfolio Management, pp. 83–91. GRAFF, R. A., A. HARRINGTON and M. S. YOUNG (1997): “The Shape of Australian Real Estate Return Distributions and Comparisons to the United States”, Journal of Real Estate Research, 3, pp. 291–308. GYOURKO, J. and D. B. KEIM (1993): “Risk and Return in Real Estate: Evidence from a Real Estate Stock Index”, Financial Analysts Journa, September–October, pp. 39–46. HARTZELL, D., J. S. HEKMAN and M. MILES (1987): “Real Estate Returns and Inflation”, Journal of the American Real Estate and Urban Economics Association, 15, pp. 617–637. HOUWELING, P., J. HOEK and F. KLEIBERGEN (2001): “The Joint Estimation of Term Structures and Credit Spreads”, Journal of Empirical Finance, July, 297–323. HUANG, C. F. and R. H. LITZENBERGER (1988): The Foundations for Financial Economics, North Holland, Amsterdam. HÜBNER, R. (2002): Terminbörsliche Immobilienderivate für Deutschland, Sternenfels. HÜBNER, R., M. S. SCHWAIGER und G. WINKLER (2003): “Das Diversifikationspotential österreichischer Immobilienwertpapiere”, Österreichisches Bankarchiv (ÖBA), 08. IBBOTSON, R. G., L. B. SIEGEL and K. S. LOVE (1985): “World Welath: Market Values and Returns”, Journal of Portfolio Management, Fall, pp. 4–23. IBBOTSON, R. G. and L. B. SIEGEL (1984): “Real Estate Returns: A Comparison with Other Investment”, Journal of the American Real Estate and Urban Economics Association, 12, pp. 219–242. JOBSON, J. D. and B. KORKIE (1982): “Potential Performance and Tests of Portfolio Efficiency”, Journal of Financial Economics, 10, pp. 433–466. KALLBERG, J. G., C. H. LIU and D. W. GREIG (1996): “The Role of Real Estate in the Portfolio Allocation Process”, Real Estate Economics, S. 359–377. LIU, C. and J. MEI (1992): “The Predictability of Return on Equity REITs and Their Co-movement with Other Assets”, Journal of Real Estate Finance and Economics, 5, pp. 401–418. MAURER, R. und S. SEBASTIAN (1998): “Immobilienaktiengesellschaften als finanzwirtschaftliche Substitute für Immobiliendirektanlagen”, Mannheimer Manuskripte zu Risikotheorie, Portfoliomanagement und Versicherungswirtschaft Nr. 105. MAURER, R. und S. SEBASTIAN (1999): “Immobilienfonds und Immobilienaktiengesellschaften als finanzwirtschaftliche Substitute für Immobiliendirektanlagen”, ZfB, 3, S. 169–194. MAURER, R., S. SEBASTIAN und T. G. STEPHAN (2000): “Immobilienindizes im Portfolio-Management”, Working Paper No. 52, Finance & Accounting, Universität Frankfurt a.M. MAURER, R. und T. G. STEPHAN (1996): “Konstruktion einer Immobilien-Benchmark und deren Anwendung im Investment-Management”, ZfB, 66. Jg., S. 1527–1545. MUELLER, G. R., G. R. PAULEY and W. K. MORRILL (1994): “Should REITs be included in a Mixed-Asset-Portfolio?”, Real Estate Finance, 1, pp. 23–28. REHKUGLER, H. (2002): “Der Beitrag der Immobilienaktie zur Risikominderung im Vermögensportfolio”, Referat zur 2. Fachkonferenz der Initiative Immobilien-Aktie am 14./15.10.02, nach: http://public.deutsche-bank.de/grundbesitz/dwag/dwag_content.nsf/doc/FDO D-4PTFDV/$file/Rehkugler.pdf, Stand:02.04.2003. ROSS, S. A. and R. ZISLER (1991): “Risk and Return in Real Estate”, Journal of Real estate Finance and Economics, 4, pp. 175–190. RUBENS, J. H., D. A. LOUTON and E. J. YOBACCIO (1998): “Measuring the Significance of Diversification Gains”, Journal of real estate research, 1, pp. 73–86. SEILER, M. J., J. R. WEBB and F. C. N. MYER (1999): “Diversification Issues in Real Estate Investment”, Journal of Real Estate Literature, 7, pp. 163–179. STÄHN, M. (2000): “Diversifikationspotential deutscher Immobilienaktien”, Diplomarbeit, Universität Leipzig. TOBIN, J. (1958): “Liquidity Preference as Behavior toward Risk”, Review of Economic Studies, 25, pp. 65–86.