 |
 |
|
|
|
| Articles:
Real Estate Asset Allocations and International Real Estate Markets Author: Gregory H. Chun and James D. Shilling Start Page:
17 Abstract: In
this paper we examine the institutional real estate ownership patterns
of life insurance companies for 10 countries over the period 1986-96.
The countries included are Australia, Austria, Belgium, France,
Italy, the Netherlands, Spain, Sweden, the United Kingdom, and the
United States. We find
that most institutional investors worldwide have shifted out of real
estate assets and into stocks and bonds over the last decade.
We then investigate whether this behavior is the result of
changing investor perceptions or a shift in stock market
capitalization. To test
this hypothesis, the paper derives measures of ex ante real estate
returns following previous empirical work in finance.
The results indicate that only a small proportion of what is
driving institutional investors' real estate portfolio decisions is
actually explained by changing investor perceptions and lagged
unexpected excess returns.
|
|
|
