The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences

Crocker H. Liu and Jianping Mei

Real Estate Economics, 1998, vol. 26, issue 1, 3-39

Abstract: International real estate related securities are investigated to see whether they offer any incremental diversification benefits over foreign stocks using mean‐variance analysis together with a multifactor latent variable model. Diversification benefits are found to be primarily driven by unanticipated returns which are partially driven by changes in exchange rate risk. Although exchange rate risk accounts for a larger portion of the return fluctuation in real estate related securities relative to common stocks, international real estate securities provide some incremental diversification benefits over common stocks even if currency risks are hedged.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
https://doi.org/10.1111/1540-6229.00736

Related works:
Working Paper: The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:26:y:1998:i:1:p:3-39

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().