摘要：Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns’ exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification power provided by this investment type in light of Modern Portfolio Theory. The research considers a sample of FIIs listed on the São Paulo Stock Exchange, during the period of 2008-2014, applying Clayton and Mackinnon´s (2003) methodology, where the econometric model explaining REIT returns is decomposed into three market factors. Results indicate that although FII returns reflect their hybrid nature, the proposed model is not sufficient to explain their total returns, suggesting that FII performance is not primarily driven by any of these underlying markets. In fact, FII would consist of a unique asset class and as such may provide diversification benefits in a mixed portfolio, depending on the selected FII type.
关键词：Alternative Investments;Brazilian REIT;Modern Portfolio Theory;Real Estate Market;Diversification;Investimento Alternativo, Fundo de Investimento Imobiliário Brasileiro, Moderna Teoria do Portfólio, Mercado Imobiliário, Diversificação.
