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REITs brasileiros: Uma oportunidade de diversificação internacional

Maria-Celia Penabad (), Carmen Lopez-Andion (), Ana Iglesias () and José Manuel Maside-Sanfiz

RAE - Revista de Administração de Empresas, 2017, vol. 57, issue 4

Abstract: The benefits of international diversification have been modified by the continuous change in the correla­tions between markets. Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equities for an investor from Brazil. We build optimal portfolios out-of-sample using predictions of volatility, correlations and yields following the DCC and VAR-DCC methods for the BOVA11, Ifix and SPDR S&P500 indices, during the period from December 1, 2014 to October 30, 2015. Our results show that the VAR-DCC approach slightly improves the DCC and Plug-in approaches, and the Naïve strategy.

Date: 2017
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Handle: RePEc:fgv:eaerae:v:57:y:2017:i:4:a:71355