Diversification potential in real estate portfolios
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Peer-reviewed
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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.
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Keywords
Portfolio diversification, real estate markets
Journal Title
International Economics
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Journal ISSN
2110-7017
Volume Title
166
Publisher
Elsevier BV
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Sponsorship
General sponsorship (fellowship) from CULS