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Diversification potential in real estate portfolios

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  • Candelon, Bertrand
  • Fuerst, Franz
  • Hasse, Jean-Baptiste

Abstract

In this paper, we study the international and sectoral diversification potential in real estate portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD countries over the period 1999–2018, we introduce a statistical test to compare country-level and sector-level diversification potential. This new diversification test provides investors and analysts with a valuable tool as it delivers both estimates and robust significance levels. The empirical findings for real estate investments broadly reveal that international diversification dominates sectoral diversification.

Suggested Citation

  • Candelon, Bertrand & Fuerst, Franz & Hasse, Jean-Baptiste, 2021. "Diversification potential in real estate portfolios," International Economics, Elsevier, vol. 166(C), pages 126-139.
    • Handle: RePEc:eee:inteco:v:166:y:2021:i:c:p:126-139
    DOI: 10.1016/j.inteco.2021.04.001
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    Cited by:

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    2. Tchai Tavor, 2024. "The Influence of Airbnb Announcements on North American Capital Markets: Insights for Stakeholders," IJFS, MDPI, vol. 12(1), pages 1-20, January.
    3. Jean-Baptiste Hasse & Christelle Lecourt & Souhila Siagh, 2023. "Institutional Stock-Bond Portfolios Rebalancing and Financial Stability," AMSE Working Papers 2322, Aix-Marseille School of Economics, France.

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    More about this item

    Keywords

    Portfolio diversification; Real estate markets;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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