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Foreign Real Estate Security Investments for Japanese Investors

Author

Listed:
  • 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)

Abstract

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.

Suggested Citation

  • Masaki Mori & Ming Zhang, 2006. "Foreign Real Estate Security Investments for Japanese Investors," International Real Estate Review, Asian Real Estate Society, vol. 9(1), pages 1-26.
  • Handle: RePEc:ire:issued:v:09:n:01:2006:p:1-22
    as

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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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    References listed on IDEAS

    as
    1. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    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. 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.
    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. 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.
    6. 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.
    7. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    foreign real estate security investments; Japanese investors; mean-lower partial moment;

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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