The Return Distributions of Property Shares in Emerging Markets

Kevin Lu and Jianping Mei

Journal of Real Estate Portfolio Management, 1999, vol. 5, issue 2, 145-160

Abstract: Executive Summary. We empirically examined the return process of the emerging equity markets, and that of property indices in particular. We found that the emerging market property indices are more volatile than both the respective market indices and the real estate investment trust indices in the United States. In terms of predictability, contrary to the traditional wisdom, we did not find overwhelming evidence for autocorrelation in the majority number of these indices. We found certain diversification benefits to invest in the emerging market property indices, but we also found the unfavorable asymmetry in the correlation between emerging property indices and the U.S. NAREIT Index (i.e., correlations were higher during time of market volatility).

Date: 1999
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DOI: 10.1080/10835547.1999.12089571

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