The Risk-Return Attributes of International Real Estate Equities
AbstractThis paper examines the risk and return attributes of international real estate equities over the 1980-1988 time period. The empirical results indicate that international real estate equities offer higher returns as well as greater total and systematic risk than U.S.-based REITs. The results also indicate that international real estate equities are weakly positively correlated with the return on REITs. International real estate equities achieve higher values for both the Treynor and Jensen measures than either the S&P 500 Index or the World Equities Index. International real estate equities also outperform domestic real estate companies on a risk-adjusted basis. However, international real estate equities underperform the World Equities Index using the Sharpe Index which suggests that international real estate equities carry significant unsystematic risk.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 6 (1991)
Issue (Month): 2 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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- Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.
- Laura Ryan, 2010. "Nowhere to hide: an analysis of investment opportunities in listed property markets during financial market crises," Journal of Property Research, Taylor & Francis Journals, vol. 28(2), pages 97-131, May.
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