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Diversification potential in real estate portfolios

Bertrand Candelon (), Franz Fuerst and Jean-Baptiste Hasse

International Economics, 2021, vol. 166, issue C, 126-139

Abstract: In this paper, we study the international and sectoral diversification potential in real estate portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD countries over the period 1999–2018, we introduce a statistical test to compare country-level and sector-level diversification potential. This new diversification test provides investors and analysts with a valuable tool as it delivers both estimates and robust significance levels. The empirical findings for real estate investments broadly reveal that international diversification dominates sectoral diversification.

Keywords: Portfolio diversification; Real estate markets (search for similar items in EconPapers)
JEL-codes: C23 F21 G11 R33 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.inteco.2021.04.001

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