Advanced Search
MyIDEAS: Login to save this paper or follow this series

Long-term benefits from investing in international real estate

Contents:

Author Info

  • Schindler, Felix

Abstract

This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less long-run linkages between real estate markets in different continents. Thus, investors would benefit from broadening their investment horizon from their domestic continent to Australia, Europe, and Northern America. Furthermore, it is shown that within each region there are one or two key markets influencing neighbouring markets like Australia in the Asia-Pacific region, the U.S. in the Anglo-Saxon area, and France and the Netherlands in the EMU. Therefore it is implied, from an investor’s point of view, that it should be sufficient to focus only on these central markets. With respect to the efficient market hypothesis, the findings by cointegration analysis put some further doubt on its validity for securitized real estate markets. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/27705/1/601902912.PDF
Download Restriction: no

Bibliographic Info

Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 09-023.

as in new window
Length:
Date of creation: 2009
Date of revision:
Handle: RePEc:zbw:zewdip:09023

Contact details of provider:
Postal: L 7,1; D - 68161 Mannheim
Phone: +49/621/1235-01
Fax: +49/621/1235-224
Email:
Web page: http://www.zew.de/
More information through EDIRC

Related research

Keywords: Cointegration; Correlation Analysis; Diversification; Securitized Real Estate Markets;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  2. Camilo Serrano & Martin Hoesli, . "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series 08-27, Swiss Finance Institute.
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  4. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 101-126, June.
  7. Shaun A. Bond & G. Andrew Karolyi & Anthony B. Sanders, 2003. "International Real Estate Returns: A Multifactor, Multicountry Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 481-500, 09.
  8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  9. Kim Hiang Liow, 2006. "The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(1), pages 1-29, November.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:09023. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.