IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v26y1998i1p3-39.html
   My bibliography  Save this article

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

Author

Listed:
  • Crocker H. 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.

Suggested Citation

  • Crocker H. Liu & Jianping Mei, 1998. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 3-39, March.
    • Handle: RePEc:bla:reesec:v:26:y:1998:i:1:p:3-39
    DOI: 10.1111/1540-6229.00736
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.00736
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.00736?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:26:y:1998:i:1:p:3-39. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.