Articles:
Foreign Real Estate Security
Investments for Japanese Investors
Authors:
Masaki Mori and Alan J. Ziobrowski
Start Page: 1
End Page: 22
Volume: 9
Issue Number: 1
Year: 2006
Publication: International Real Estate Review
Abstract: Foreign real
estate investment funds have recently been added to the practical investment
opportunity sets of ordinary Japanese investors. This paper analyzes the
additional diversification benefits of U.S. REITs and Australian listed
property trusts (LPTs) for Japanese investors who already hold Japanese,
U.S., and Australian financial assets while considering different risk
definitions in a mean-lower partial moment (MLPM) framework. The study uses
data from August 1994 to July 2004. The impacts of currency adjustment and
risk definition on the diversification benefits are examined. Our results
suggest that the additional diversification benefits of U.S. REITs and
Australian LPTs can be obtained only in very limited cases by Japanese
investors.
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