The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios

28 Pages Posted: 20 Jan 2006

See all articles by John L. Glascock

John L. Glascock

University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies; European Business School

Lynne J. Kelly

Howard University

Multiple version iconThere are 2 versions of this paper

Date Written: October 2005

Abstract

We examine and test the merits of diversifying portfolios of real estate securities internationally and by property type. Our analysis covers the period February 1990 through November 2002. Using data from the Global Property Research General Property Securities Index, which has monthly prices for four property type indices in twenty-one countries, we decompose country and property type sources of variation in real estate security returns. The analysis shows that property type effects are much smaller than country effects. Property type specialization explains only four percent of the variance of national real estate securities index returns. Because property type effects are so small, counry diversification is a more effective tool for achieving risk reduction than property type diversification.

Keywords: International Real Estate Securities, Diversification, Property Type

JEL Classification: G11, G15, G19

Suggested Citation

Glascock, John L. and Kelly, Lynne J., The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios (October 2005). Available at SSRN: https://ssrn.com/abstract=875887 or http://dx.doi.org/10.2139/ssrn.875887

John L. Glascock

University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies ( email )

Storrs, CT 06269
United States

European Business School ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany

Lynne J. Kelly

Howard University ( email )

Washington, DC 20059
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,069
Abstract Views
3,387
Rank
39,921
PlumX Metrics