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The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences

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  • Crocker Liu
  • Jianping Mei

Abstract

International real estate related securities are investigated to see whether they offer any incremental diversification benefits over foreign stocks using mean‐variance analysis together with a multifactor latent variable model. Diversification benefits are found to be primarily driven by unanticipated returns which are partially driven by changes in exchange rate risk. Although exchange rate risk accounts for a larger portion of the return fluctuation in real estate related securities relative to common stocks, international real estate securities provide some incremental diversification benefits over common stocks even if currency risks are hedged.
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Suggested Citation

  • Crocker Liu & Jianping Mei, 1996. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-33, New York University, Leonard N. Stern School of Business-.
    • Handle: RePEc:fth:nystfi:96-33
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