IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2001_121.html

Real Estate Investment in an Asset/liability Framework

Author

Listed:
  • Philip Booth

Abstract

The last ten years has seen an explosion of literature looking at the role of real estate in a multi-asset portfolio. There has been a more limited development of literature in the UK and US which considers how real estate fits into an asset/liability pension plan framework. This paper considers further aspects of that problem. In particular, the range of available asset classes is extended to include UK equities, US equities, cash, UK government conventional bonds, UK government index-linked bonds and UK real estate. Results which suggest that a high real estate proportion is appropriate in a pension fund, because of the relationship of its returns with pension plan liabilities may not be valid when a greater number of asset classes with similar characteristics are considered. Secondly, our pension fund model decomposes pension plan liabilities into mature (retired) and immature (active) liabilities. These types of liabilities have quite different characteristics. We are therefore able to investigate whether the maturing of pension plan liabilities should have any impact on real-estate investment decisions.

Suggested Citation

  • Philip Booth, 2001. "Real Estate Investment in an Asset/liability Framework," ERES eres2001_121, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2001_121
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2001-121
    Download Restriction: no
    File URL: https://eres.architexturez.net/system/files/pdf/eres2001_121.content.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Gregory H. Chun & Brian A. Ciochetti & James D. Shilling, 2000. "Pension-Plan Real Estate Investment in an Asset-Liability Framework," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 467-491.
    2. Vihang Errunza & Ked Hogan & Mao‐Wei Hung, 1999. "Can the Gains from International Diversification Be Achieved without Trading Abroad?," Journal of Finance, American Finance Association, vol. 54(6), pages 2075-2107, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
    2. Michael Heinrich & Thomas Schreck, 2017. "Effects of Solvency II on Portfolio Efficiency, The Case of Real Estate and Infrastructure Investments," LARES lares_2017_paper_8, Latin American Real Estate Society (LARES).
    3. Heinrich, Michael & Just, Tobias & Schreck, Thomas, . "Auswirkungen von Solvency II auf die Immobilienanlagen europäischer Versicherer," Beiträge zur Immobilienwirtschaft, University of Regensburg, Department of Economics, number 12, August.
    4. Just, Tobias & Möbert, Jochen & Heinrich, Michael, . "Deutsche Wohnimmobilien als Kapitalanlage : Gutachten im Auftrag der Deutsche Bank Privat- und Geschäftskunden AG," Beiträge zur Immobilienwirtschaft, University of Regensburg, Department of Economics, number 6, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
    2. Auguste, Sebastian & Dominguez, Kathryn M.E. & Kamil, Herman & Tesar, Linda L., 2006. "Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1259-1295, October.
    3. He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 204-214, January.
    4. Rigobon, Roberto & Karolyi, Andrew, 2001. "Comments," LSE Research Online Documents on Economics 123126, London School of Economics and Political Science, LSE Library.
    5. Johnson, Lewis D. & Yu, Wayne W., 2004. "An analysis of the use of derivatives by the Canadian mutual fund industry," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 947-970, October.
    6. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    7. Fooladi, Iraj J. & Rumsey, John, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, Elsevier, vol. 15(3), pages 223-236.
    8. Desai, Mihir A. & Dharmapala, Dhammika, 2009. "Taxes, institutions and foreign diversification opportunities," Journal of Public Economics, Elsevier, vol. 93(5-6), pages 703-714, June.
    9. Stanley Peterburgsky & Yini Yang, 2013. "Diversification potential of ADRs, country funds and underlying stocks across economic conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 23(3), pages 199-219, February.
    10. Naka, Atsuyuki & Noman, Abdullah, 2017. "Diversification of risk exposure through country mutual funds under alternative investment opportunities," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 215-227.
    11. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    12. Desai, Mihir A. & Dharmapala, Dhammika, 2010. "Do Strong Fences Make Strong Neighbors?," National Tax Journal, National Tax Association;National Tax Journal, vol. 63(4), pages 723-740, December.
    13. Omar Esqueda & Dave Jackson, 2012. "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 691-711, July.
    14. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
    15. Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
    16. Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014. "Financial integration, financial turmoil and risk premia in emerging markets," EconomiX Working Papers 2014-52, University of Paris Nanterre, EconomiX.
    17. Irem Demirci & Miguel A Ferreira & Pedro Matos & Clemens Sialm, 2022. "How Global Is Your Mutual Fund? International Diversification from Multinationals," The Review of Financial Studies, Society for Financial Studies, vol. 35(7), pages 3337-3372.
    18. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
    19. Anil Mishra, 2011. "Australia’s equity home bias and real exchange rate volatility," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 223-244, August.
    20. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    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:arz:wpaper:eres2001_121. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc 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 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: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.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.