Does international diversification work better for real estate than for stocks and bonds?

Financial Analysts Journal

Volumn 52, Issue 1, 1996, Pages 56-62

  Eichholtz, Piet M A ^a  

^a MAASTRICHT UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002401744     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n1.1967     Document Type: Article

References (10)

1. F.M. Sweeney, "Investment Strategy, A Property Market Without Frontiers," Estates Gazette (September 1989):21-30.
2. See S.M. Giliberto, "Global Real Estate Securities: Index Performance and Diversified Portfolios," Salomon Brothers Real Estate Research (February 23, 1990); and S.M. Giliberto and B. Testa, "Global Property Share Performance by Geographic Region," Salomon Brothers Real Estate Research (August 21, 1990).
3. See S.M. Giliberto, "Global Real Estate Securities: Index Performance and Diversified Portfolios," Salomon Brothers Real Estate Research (February 23, 1990); and S.M. Giliberto and B. Testa, "Global Property Share Performance by Geographic Region," Salomon Brothers Real Estate Research (August 21, 1990).
4. J.N. Gordon, "The Diversification Potential of International Property Investments," Real Estate Finance Journal, vol. 7, no. 2 (Fall 1992):42-48.
5. LIFE provides return indexes of property companies for the following 30 countries: in Europe - Austria, Belgium, Denmark, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom; in North America - Canada and the United States; in the Far East - Australia, Hong Kong, Indonesia, Japan, Malaysia, New Zealand, the Philippines, Singapore, Sri Lanka, and Thailand; and in the rest of the world - Argentina, Israel, Mexico, and South Africa. Indexes of publicly listed property development companies are being constructed.
6. 2 Test for the Equality of Two Correlation Matrices," Journal of the American Statistical Association, vol. 65, no. 4 (1970):904-12.
7. See E.C. Kaplanis, "Stability and Forecasting of the Comovement Measures of International Stock Market Returns," Journal of International Money and Finance, vol. 7, no. 3 (1988):63-75; and P.M.A. Eichholtz, "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research (forthcoming).
8. See E.C. Kaplanis, "Stability and Forecasting of the Comovement Measures of International Stock Market Returns," Journal of International Money and Finance, vol. 7, no. 3 (1988):63-75; and P.M.A. Eichholtz, "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research (forthcoming).
9. P.M.A. Eichholtz and R.T. Lie, "Globalization of Real Estate Markets?" working paper, City University Business School, London (March 1995).
10. The author would like to thank David Geltner, Jacques Gordon, Kees Koedijk, Ronald Mahieu, Steven Maijoor, and Christian Wolff for their helpful comments. All errors are the responsibility of the author. The financial support of the Real Estate Research Institute is much appreciated.