Abstract
This paper examines the risk and return characteristics of K-REITs and the correlationof Korean real estate investment trusts (K-REITs) to other asset classes and theirdiversification potential in a mixed-asset portfolio. The data were monthly total returnsfrom January 2002 to December 2010 for South Korean REITs, bonds, shares, andproperty companies. The results reveal that K-REITs performed poorly over the entireperiod as compared to shares, bonds, and property companies. Consequently, K-REITsdid not represent a substantial weight in a mixed-asset portfolio. However, K-REITshave a low correlation with shares and property companies, suggesting some level ofdiversification potential for share and property investors.
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