Risk, diversification, and the investment horizon

Butler, Kirt C.; Domian, Dale L.

doi:10.3905/jpm.1991.409334

Cited by 77 publications

(27 citation statements)

References 8 publications

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“…Drawing random samples with replacement from historical real monthly returns, Butler and Domian (1991) report that the probability of common stocks underperforming Treasury bonds is 11% for 10 years, and only 5% over 20 years. Levy and Spector (1996) indicate that investors with a log-wealth utility function should invest only in equities, including more than 90% in small stocks, and reasonably risk-averse investors with myopic utility functions should invest mainly in equities.…”

Section: Literature Reviewmentioning

confidence: 99%

Optimal Portfolios For Different Holding Periods

Choi

Mukherji

2010

JBER

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Section: Literature Reviewmentioning

confidence: 99%

Optimal Portfolios For Different Holding Periods

Choi

Mukherji

2010

JBER

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“…It was widely applied to asset allocation by Leibowitz and Kogelman (1991) and used by Asness (1996), Bodie (1995), Butler and Domian (1991), Leibowitz and Krasker (1988) or Zimmermann (1991Zimmermann ( , 1993 to judge the long-term risk of stocks and bonds. Additionally, Mao (1970), Libby and Fishburn (1977), Kahneman and Tversky (1979), Laughhuun, Payne and Crum (1980) and March and Shapira (1987) show that, in empirical decision-making, many individuals judge the risk of an alternative, relative to a reference point.…”

Section: Motivationmentioning

confidence: 99%

Return and risk of German open‐end real estate funds

Maurer

Reiner

Rogalla

2004

Journal of Property Research

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractDue to the recent downturn in international equity markets, the interest in real-estate investments has soared. However, the well-known problems of direct real-estate investments complicate becoming well-diversified with this investment class. Indirect real-estate investments can provide a solution to this problem. Shares of real-estate investment companies are very popular in this context. The German market for securitised real-estate investments additionally provides open-ended real-estate funds (so called " Offene Immobilienfonds"). An open-end real-estate fund is a pool of money from many investors, with which a special investment company, acting as a trustee, invests it in real estate. Thus, the individual investors are directly involved in the real-estate market.This study is based on monthly and yearly return data from January 1975 to December 2002. It seeks to identify the short and long-term financial characteristics of investments into open-ended real-estate funds, and to compare them with those of other major asset classes like bonds, equities, and money market investments. In this sense, the considerations comprise extensive univariate and multivariate analyses of real-estate fund returns. Furthermore, the long-term risk/return profile of real-estate fund investments relative to other investment opportunities is investigated. Additionally, this paper provides a brief overview of the institutional design and role of German open-end real-estate mutual funds.Empirical evidence suggests that the financial characteristics of open-ended real-estate funds clearly distinguish them from other (financial) asset classes. These characteristics are in many respects similar to those known from dir ect real-estate investments. Accordingly, the German open-end real-estate funds qualify themselves more for medium and long-term investment horizons, than for short holding periods. All in all, this indirect real-estate investment vehicle is characterised by moderate and relatively stable returns over time.

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“…Corter & Chen, 2006;Dulebohn, 2002). Much prior research has affirmed the influence of investment horizons on portfolio performance (Hodges, Taylor, & Yoder, 1997) and allocation (Butler & Domian, 1991). For example, Hodges, Taylor, and Yoder (1997) found that individual investors with longer expected investment horizons generally enjoyed better portfolio performance, measured by Sharpe Ratios.…”

Section: Perceptions and Preferencesmentioning

confidence: 99%

Use of Financial Planners and Portfolio Performance

Lei¹,

Yao²

2016

Journal of Financial Counseling and Planning

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Using modern information economics as the conceptual framework and data from the 2013 Survey of Consumer Finances, this study adopts a decomposition technique to explore the relationship between the primary information source used by U.S. investors and their household investment portfolio performance. The sample includes households with investable assets and those whose primary information source is financial planner or self-directed sources. Households that received large amounts of inheritance or gifts within the past year are excluded from this study due to the necessity of additional planning and the associated time commitment to accomplish it. The findings reveal that investors who consult with financial planners have a higher probability of achieving better household investment portfolio performance than selfdirected investors. Results also show that household income and investor's gender mediated the effect of information source on investment portfolio performance. This study is one of the first to provide empirical evidence of a positive relationship between the service that U.S. financial planners provide and their clients' financial outcome.

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Risk, diversification, and the investment horizon

Cited by 77 publications

References 8 publications

Optimal Portfolios For Different Holding Periods

Optimal Portfolios For Different Holding Periods

Return and risk of German open‐end real estate funds

Use of Financial Planners and Portfolio Performance

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