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Foreign Real Estate Security Investments for Japanese Investors

Listed author(s):
  • Masaki Mori

    ()

    (Department of Real Estate, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA 30302, USA)

  • Ming Zhang

    ()

    (Department of Real Estate, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA 30302, USA)

Foreign real estate investment funds have recently been added to the practical investment opportunity sets of ordinary Japanese investors. This paper analyzes the additional diversification benefits of U.S. REITs and Australian listed property trusts (LPTs) for Japanese investors who already hold Japanese, U.S., and Australian financial assets while considering different risk definitions in a mean-lower partial moment (MLPM) framework. The study uses data from August 1994 to July 2004. The impacts of currency adjustment and risk definition on the diversification benefits are examined. Our results suggest that the additional diversification benefits of U.S. REITs and Australian LPTs can be obtained only in very limited cases by Japanese investors.

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File URL: http://www.umac.mo/fba/irer/papers/past/Vol9_pdf/Mori%20and%20Ziobrowski(1-22).pdf
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Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 9 (2006)
Issue (Month): 1 ()
Pages: 1-26

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Handle: RePEc:ire:issued:v:09:n:01:2006:p:1-22
Contact details of provider: Postal:
Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA

Web page: http://www.asres.org/

Order Information: Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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  1. Auke Plantinga & Franks Sortino & Robert van der Meer, 2004. "The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets," Finance 0407016, EconWPA.
  2. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 635-635, November.
  3. Young, Michael S & Graff, Richard A, 1995. "Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 225-259, May.
  4. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
  5. Alan J. Ziobrowski & Richard Curcio, 1991. "Diversification Benefits of U.S. Real Estate to Foreign Investors," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 119-142.
  6. Alan J. Ziobrowski & Brigitte J. Ziobrowski & Sidney Rosenberg, 1997. "Currency Swaps and International Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 223-251.
  7. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
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