Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2012. / Research indicates that investment in un-securitised private real estate in both
developed and emerging economies exhibits inflation hedging potential and
provides diversification benefits for mixed-asset portfolios, reducing the risk of
portfolios that contain mostly common stocks and bonds. This paper examines
the risk diversification potential of securitised property funds for investment
portfolios comprising traditional asset classes such as common stocks, bonds
and cash instruments in the South African context – to establish if they exhibit
the same characteristics as un-securitised private real estate. The results
indicate that including securitised property funds in a portfolio comprised of
traditional assets reduces unsystematic risk in a portfolio by a significant
amount. We also assess the affecters of variability in returns of PUT and PLS
funds. The results suggest that the variability in PUT and PLS returns can be
explained by both the variability in the equity and debt markets (measured by
the ALSI and ALBI), and the variability in direct property returns. Importantly,
we find that PUT and PLS market pricing is representative of the underlying
asset class pricing (direct real estate prices).
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/12906 |
| Date | 25 July 2013 |
| Creators | McDonald, Wendy Lee |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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