Property, shares and property shares

D. Brounen*, P.M.A. Eichholtz

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


In this article the authors examine the relationship between private property, the securitized property share market, and the common stock market in the United States and the United Kingdom during the period 1986 to 2002. They find that the correlations between property share returns and common stock returns are show a similar decreasing trend for both countries, indicating increased mixed-asset diversification potential for property shares. After applying standard unsmoothing and hedging techniques, in order to abstract from the underlying market structures, the authors discover increased similarities between the securitized and unsecuritized property performances in both countries. Combining the performance characteristics of both property investment vehicles results in new insights regarding the position of real estate in mixed-asset portfolios.
Original languageEnglish
Pages (from-to)129-137
Number of pages8
JournalJournal of Portfolio Management
Publication statusPublished - 1 Jan 2003


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