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The Risk-Return Attributes of International Real Estate Equities

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Abstract

This paper examines the risk and return attributes of international real estate equities over the 1980-1988 time period. The empirical results indicate that international real estate equities offer higher returns as well as greater total and systematic risk than U.S.-based REITs. The results also indicate that international real estate equities are weakly positively correlated with the return on REITs. International real estate equities achieve higher values for both the Treynor and Jensen measures than either the S&P 500 Index or the World Equities Index. International real estate equities also outperform domestic real estate companies on a risk-adjusted basis. However, international real estate equities underperform the World Equities Index using the Sharpe Index which suggests that international real estate equities carry significant unsystematic risk.

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  • Paul K. Asabere & Robert Kleiman & Carl McGowan, 1991. "The Risk-Return Attributes of International Real Estate Equities," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 143-152.
  • Handle: RePEc:jre:issued:v:6:n:2:1991:p:143-152
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    References listed on IDEAS

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    1. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254.
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    Cited by:

    1. Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
    2. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, March.
    3. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503.
    4. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
    5. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
    6. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    7. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.
    8. Laura Ryan, 2010. "Nowhere to hide: an analysis of investment opportunities in listed property markets during financial market crises," Journal of Property Research, Taylor & Francis Journals, vol. 28(2), pages 97-131, May.
    9. Joseph L. Pagliari, Jr. & James R. Webb & Todd A. Canter & Frederich Lieblich, 1997. "A Fundamental Comparison of International Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 317-348.
    10. Kim Hiang Liow & Graeme Newell, 2012. "Investment Dynamics of the Greater China Securitized Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 34(3), pages 399-428.
    11. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.
    12. Graeme Newell & James R. Webb, 1996. "Assessing Risk for International Real Estate Investments," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 103-116.
    13. Mohamadou L. Fadi & Yongsheng Wang, 2014. "Common Stochastic Volatility in International Real Estate Market," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 131-139.

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    JEL classification:

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

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