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Jahrestagung des Vereins für Socialpolitik 2011 (Frankfurt a. M.): Die Ordnung der Weltwirtschaft - Lektionen aus der Krise >
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http://hdl.handle.net/10419/48705
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| Title: | | International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk  |
| Authors: | | Schindler, Felix Kröncke, Tim-Alexander |
| Issue Date: | | 2011 |
| Series/Report no.: | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Financial Economics F6-V1 |
| Abstract: | | This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the perspective of a US investor, it is shown that first, international diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification benefits from international assets. Our in-sample results are quite robust in out-of-sample analysis and when investment frictions like short selling constraints are introduced. |
| Subjects: | | Diversification Benefits International Mixed-Asset Portfolios Currency Hedging Spanning Tests Short Selling Constraints |
| JEL: | | G12 G15 G11 |
| Document Type: | | Conference Paper |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2011 (Frankfurt a. M.): Die Ordnung der Weltwirtschaft - Lektionen aus der Krise
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