The Risk-Return Attributes of International Real Estate Equities

Paul K. Asabere (), Robert Kleiman () and Carl McGowan
Additional contact information
Paul K. Asabere: School of Business Management Temple University Philadelphia, Pennsylvania 19122, http://www.sbm.temple.edu/
Robert Kleiman: School of Business Administration Oakland University Rochester, Michigan 48309, http://www.sba.oakland.edu/
Carl McGowan: School of Management University of Michigan-Flint Flint, Michigan 48502, http://www.flint.umich.edu/Departments/SOM/index.html

Journal of Real Estate Research, 1991, vol. 6, issue 2, 143-152

Abstract: This paper examines the risk and return attributes of international real estate equities over the 1980-1988 time period. The empirical results indicate that international real estate equities offer higher returns as well as greater total and systematic risk than U.S.-based REITs. The results also indicate that international real estate equities are weakly positively correlated with the return on REITs. International real estate equities achieve higher values for both the Treynor and Jensen measures than either the S&P 500 Index or the World Equities Index. International real estate equities also outperform domestic real estate companies on a risk-adjusted basis. However, international real estate equities underperform the World Equities Index using the Sharpe Index which suggests that international real estate equities carry significant unsystematic risk.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (28)

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