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Global Property Market Diversification

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  • John Gallo

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  • Ying Zhang

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    File URL: http://hdl.handle.net/10.1007/s11146-009-9178-y
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    Bibliographic Info

    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 41 (2010)
    Issue (Month): 4 (November)
    Pages: 458-485

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    Handle: RePEc:kap:jrefec:v:41:y:2010:i:4:p:458-485

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    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: Diversification; Real Estate; Global; Portfolio; Cointegration;

    References

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    1. John Y. Campbell & Yasushi Hamao, 1989. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," NBER Working Papers 3191, National Bureau of Economic Research, Inc.
    2. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
    3. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
    4. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298.
    5. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    6. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
    7. Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.
    9. John G. Gallo & Larry J. Lockwood & Mauricio Rodriguez, 2006. "Differentiating CREF Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(2), pages 173-209, 06.
    10. Liu, Crocker H & Mei, Jianping, 1994. "An Analysis of Real-Estate Risk Using the Present Value Model," The Journal of Real Estate Finance and Economics, Springer, vol. 8(1), pages 5-20, January.
    11. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    12. Joseph L. Pagliari, Jr. & James R. Webb & Todd A. Canter & Frederich Lieblich, 1997. "A Fundamental Comparison of International Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 317-348.
    13. Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
    14. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    15. Karolyi, G Andrew & Sanders, Anthony B, 1998. "The Variation of Economic Risk Premiums in Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 17(3), pages 245-62, November.
    16. Graeme Newell & James R. Webb, 1996. "Assessing Risk for International Real Estate Investments," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 103-116.
    17. Liow, Kim Hiang & Webb, James R., 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, Elsevier, vol. 18(2), pages 80-89, April.
    18. Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    19. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer, vol. 31(1), pages 33-51, February.
    20. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
    21. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    22. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254.
    23. Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper 1995-123, Tilburg University, Center for Economic Research.
    24. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April.
    25. Mei, Jianping & Lee, Ahyee, 1994. "Is There a Real Estate Factor Premium?," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 113-26, September.
    26. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    27. Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509.
    28. Nicholas Barberis & Andrei Shleifer, 2000. "Style Investing," NBER Working Papers 8039, National Bureau of Economic Research, Inc.
    29. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
    30. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
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