Diversification Benefits of Japanese Real Estate Over the Last Four DecadesNeal Maroney () and Atsuyuki Naka The Journal of Real Estate Finance and Economics, 2006, vol. 33, issue 3, pages 259-274 Abstract: This paper studies the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors. We examine movements in mean variance frontiers by employing spanning tests to assess the statistical significance of frontier shifts. We also investigate the impact of shifts in mean variance frontiers before and after the precipitous decline in Japanese real estate and stock market values that began in 1990. Spanning tests show that real estate, short and long-term bonds, and Japanese equity provide significant diversification benefits. We find that mean variance frontiers shift after 1990. Statistically significant shifts are also economically important as measured by Sharpe ratio changes. Although significant, the portfolio weights on Japanese real estate are relatively small compared to their composition found in surveys of Japanese household wealth. Copyright Springer Science + Business Media, LLC 2006 Keywords: Diversification benefits; Japanese real estate; Direct real estate investment; Spanning tests; Mean variance frontiers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:kap:jrefec:v:33:y:2006:i:3:p:259-274 Access Statistics for this article The Journal of Real Estate Finance and Economics is edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans More articles in The Journal of Real Estate Finance and Economics from Springer |
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