Diversification potential in real estate portfolios

Bertrand Candelon, Franz Fuerst and Jean-Baptiste Hasse

No 2021009, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

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 sectorlevel 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)
Pages: 14
Date: 2021-04-20
Note: In: International Economics, 2021, vol. 166, p. 126-139
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Citations: View citations in EconPapers (3)

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Journal Article: Diversification potential in real estate portfolios (2021)
Journal Article: Diversification potential in real estate portfolios (2021)
Working Paper: Diversification Potential in Real Estate Portfolios (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlr:2021009

DOI: 10.1016/j.inteco.2021.04.001

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