Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework
基于效用框架研究不同风险厌恶程度投资者从REIT优先股和普通股中获得的多元化收益，发现普通股助低风险厌恶者提高收益，优先股助高风险厌恶者降低风险。
Abstract We study the diversification benefits of REIT preferred and common stock using a utility‐based framework in which investors segment based on risk aversion. We examine optimal mean‐variance portfolios of investors with different levels of risk aversion given access to different classes of assets and establish three main results. First, REIT common stock helps low risk aversion investors attain portfolios with higher returns, while REIT preferred stock helps high risk aversion investors by providing a venue for risk reduction. Second, REIT preferred stock has a risk‐return profile not easily replicated by other asset classes. Finally, conclusions drawn from the empirical analysis are markedly different under these constraints compared to the classical unconstrained setting.