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) |
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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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