Structuring global Property Portfolios: A Cointegration Approach

John Gallo, Larry Lockwood and Ying Zhang

Journal of Real Estate Research, 2013, vol. 35, issue 1, 53-82

Abstract: We create globally diversified real estate portfolios using cointegration methods over 1992-2009. Cointegration is robust to intertemporal correlation instability, identifies markets that share common factors and long-term trends, and identifies leading markets that do not respond to deviations from equilibrium within each cointegrated region. Our cointegrationinspired model portfolios outperform the mean-variance optimized portfolio by 575-725 basis points annually. Differences in performance remain significant over separate time periods, and after controlling for various risk factors. Collectively, the results help clarify property portfolio selection and allocation policy vital for institutional investors and global real estate portfolio managers.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2013.12091356 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:rjerxx:v:35:y:2013:i:1:p:53-82

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjer20

DOI: 10.1080/10835547.2013.12091356

Access Statistics for this article

Journal of Real Estate Research is currently edited by William Hardin and Michael Seiler

More articles in Journal of Real Estate Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().