• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2014 Vol.5(6): 472-476 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2014.V5.418

The Insight Diversification Characteristic of Real Estate Security in Capital Market under Sharpe’s Asset Class Factor Model: The Case of Thai Property Funds

Aekkachai Nittayakasetwat and Jiroj Buranasiri
Abstract—This study investigates Thai property funds’ in-depth diversification ability during 2003 and 2011 by applying Sharpe asset allocation method. The equally weighted property fund portfolio is built and replicated by a portfolio built from12 asset classes including government’s short term bills, government’s intermediate-term bonds, government’s long-term bonds, corporate bonds, property sector stock Index, large capitalization value socks, large capitalization growth stocks, medium-capitalization stocks, small-capitalization stocks, non-Thai market bond index, developed market stock index and emerging market stock. The result shows that Thai property funds’ behavior is exposed to corporate bond (60%), medium-capitalization stock (21%) and small-capitalization stock (10%). However, the analysis also indicates that the equally weighted property fund portfolio is made up of style component by only 47%. There exists a unique characteristic of property funds which could not be found from other asset classes. The existence of property funds allows investors to further eliminate diversifiable risk in their portfolio.

Index Terms—Equally weighted property fund portfolio, large-capitalization value socks, large-capitalization growth stocks, medium-capitalization stocks.

Aekkachai Nittayakasetwat is with NIDA Business School, National Institute of Development, Thailand (e-mail: bbawtt@hotmail.com).
Jiroj Buranasiri is with the Department of Business Administration, Faculty of Social Science, Srinakharinwirot Unisversity, Thailand (e-mail: jirojresearch@gmail.com).

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Cite: Aekkachai Nittayakasetwat and Jiroj Buranasiri, "The Insight Diversification Characteristic of Real Estate Security in Capital Market under Sharpe’s Asset Class Factor Model: The Case of Thai Property Funds," International Journal of Trade, Economics and Finance vol.5, no.6, pp. 472-476, 2014.

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