Evaluating Diversification Benefits of Real Estate, Equity, Bonds and Commodities in Japan and the U.S. PDF Download

Author: Kazuo Sato
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 192

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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper examines the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors by examining movements in mean variance frontiers. We employ spanning tests to assess statistical significance of frontier shifts without specifying a benchmark asset pricing model. We also examine the impact of shifts in mean variance frontiers before and after the precipitous decline in Japanese real estate and stock market values in the 90s. Spanning tests show that real estate, short, and long-term bonds provide diversification benefits while domestic and US equities do not. Significant shifts in mean variance frontiers are detected during the 90s. Residential property as opposed to commercial and industrial properties proves to be a more robust diversifier. Statistically significant shifts are also economically significant as measured by Sharpe ratio changes. Although significant, the portfolio weights on real estate are small compared to their composition in nations 19 wealth.

Author: Neal Maroney
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper studies the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors. We examine movements in mean variance frontiers by employing spanning tests to assess the statistical significance of frontier shifts. We also investigate the impact of shifts in mean variance frontiers before and after the precipitous decline in Japanese real estate and stock market values that began in 1990. Spanning tests show that real estate, short and long-term bonds, and Japanese equity provide significant diversification benefits. We find that mean variance frontiers shift after 1990. Statistically significant shifts are also economically important as measured by Sharpe ratio changes. Although significant, the portfolio weights on Japanese real estate are relatively small compared to their composition found in surveys of Japanese household wealth.

Author: Nafeesa Yunus
Publisher: ProQuest
ISBN: 9780549136774
Category : Banks and banking
Languages : en
Pages :

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The primary purpose of this dissertation is to utilize recently available and reliable high frequency transactions based data provided by FTSE EPRA/NAREIT and employ modern day time series techniques and recently developed diagnostic tests to evaluate the degree of long-run integration and short-run dynamics among major public property markets (in terms of market capitalization) over a period beginning January 2000 and ending March 2006 to evaluate diversification possibilities from the perspective of the US investor. Both Asia and Europe are investigated. A secondary objective is to examine the long-run and short-run interaction among the corresponding major international equity markets to compare and contrast diversification benefits from exploitation of international property markets. Overall, the study provides corroborative evidence that US investors can attain substantial diversification benefits from investing in many of the international property markets in the long-run as well as the short-run. Long-term benefits are available in both the Asian and the European property markets, while greater short-term opportunities are available in the Asia-Pacific markets in the more recent sub-period. The findings also suggest securitized property markets is some countries behave similarly to their corresponding stock markets while others behave in ways that set them apart from the wider equity market (Gordon and Canter, 1999; and Gordon et al. 2001). As hypothesized a-priori, real estate markets show greater signs of (long-run) segmentation or weaker evidence of (long-run) integration (as evidenced by the strength of the relationships among the international property markets) implying that unlike equity markets, US investors can exploit greater opportunities from international portfolio diversification in several of the international property markets in the long-run. Short-run results indicate relatively fewer lead-lag relationships between the US and the international property markets confirming earlier contentions, that due to the underdeveloped state of the securitized property sector (relative to equity markets) and due to the "real estate" nature of these markets, the securitized property sector is less impacted by the US property market in the short run than the corresponding equity markets.

Author: Cheol S. Eun
Publisher:
ISBN:
Category :
Languages : en
Pages : 42

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Author: H. Kent Baker
Publisher: Oxford University Press
ISBN: 0199993289
Category : Business & Economics
Languages : en
Pages : 335

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Real estate is typically classified as an alternative to more traditional investments such as stocks and bonds. Real estate investing involves the purchase, ownership, management, rental, or sale of real estate for profit. Real estate investments can be both income producing and non-income producing. Although real estate can produce income like a bond and appreciate like a stock, this tangible asset has several unique characteristics as well as advantages and disadvantages relative to other investment alternatives. Benefits of including real estate in a portfolio include diversification, yield enhancement, risk reduction, tax management, and inflation hedging. Unlike traditional investments, investors in real estate have the ability to influence performance. Real estate has drawbacks in that it requires management, is costly and difficult to buy, sell, and operate, and sometimes has lower liquidity. Additionally, measuring the relative performance of real estate can be challenging. The purpose of this 14-chapter book is to provide an overview and synthesis of public real estate markets and investments in a global context. The book discusses the major types and the latest trends within public real estate markets and presents the results of research studies in a straightforward manner. It has three sections: (1) foundations of public real estate, (2) public debt markets and investments, and (3) public equity markets and investments. The book should be interest to various groups including academics, practitioners, investors, and students. Readers should gain a greater appreciation of what is needed for success when investing in public real estate markets. For more information about private real estate, read Private Real Estate Markets and Investments.

Author: Priyanka Singh
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This study investigates the diversification benefits between the Indian, US and Japanese stock markets for the period January, 2000- February, 2008. Firstly tri-variate Johansen cointegration is run to see for the presence of long term cointegration. No co integrating vector is found among the three stock markets. Then Granger causality is run and it is found that Indian stock market granger causes Japanese. Japanese and US stock market seems to granger cause each other. Lastly tri-variate VAR is used to diagnose the return spillover between the stock markets. It is found that there is significant return spillover from Indian and US stock market to Japanese stock market. There is also significant influence of Japanese stock market on US stock market. However, there seems to be no return spillover on the Indian stock market from either the US or the Japanese stock market.

Author: Vijay Singh
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 400

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Author: Ramón Sotelo
Publisher: Springer Science & Business Media
ISBN: 3642368565
Category : Business & Economics
Languages : en
Pages : 242

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Shortly before of the beginning of the global financial crisis of 2008 REITs were introduced in several European countries based on their success in mature markets like the US, Australia and some Asian countries. While the history of REITs in Europe has been relatively brief, REITs are well on the way to become an industry standard as a real estate investment financial vehicle not only in Europe but throughout the developed world. This book provides both academics and decision makers an introduction to the economics of REITs beyond tax transparency, an overview of the mature REITs markets, and a closer reflection of the development of different REIT-structures in Europe including the history, regulation and markets of each country.

Author: Donald R. Chambers
Publisher: CFA Institute Research Foundation
ISBN: 1944960384
Category : Business & Economics
Languages : en
Pages : 122

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Book Description
Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.