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International diversification with securitized real estate and the veiling glare from currency risk

Kröncke, Tim and Schindler, Felix. (2012) International diversification with securitized real estate and the veiling glare from currency risk. Journal of International Money and Finance, 31 (7). pp. 1851-1866.

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Official URL: http://edoc.unibas.ch/50919/

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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 systematic foreign exchange movements. 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.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Ehemalige Einheiten Wirtschaftswissenschaften > Corporate Finance (Kröncke)
UniBasel Contributors:Kröncke, Tim
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Elsevier Ltd.
Note:Publication type according to Uni Basel Research Database: Journal article
Identification Number:
Last Modified:20 Jul 2018 11:24
Deposited On:20 Jul 2018 11:24

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