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The Role of Public Markets in International Real Estate Diversification
Brian A. Ciochetti1; Rose Neng Lai2; James D. Shilling3
2015
Source PublicationINTERNATIONAL REAL ESTATE REVIEW
ISSN2154-8919
Volume18Issue:2Pages:155-175
Abstract

This paper presents new evidence of the benefits of international real estate diversification using a rational, sentiment-based model of private and public equity securities. A sizable literature does exist on international real estate diversification. Our paper complements this literature by measuring the benefits of international real estate diversification in an equilibrium framework in which an immediate shock in one market may not cause an immediate effect in the other market. Yet, over time, the two markets will move back into equilibrium with one another, but not until capital flows from one market to the other. These capital flows impart a large local component into public and private real estate returns, thus suggesting international diversification benefits for property investors. Yet these benefits do not matter much to defined-benefit pension plans unless they are positively and significantly correlated with the plan's liabilities, and then only if the plan's liabilities are indexed to the cost of living either before or after retirement, or both. Our findings suggest that the sensitivity of real estate to national factors is large, while sensitivities to international influences are small.

KeywordPrivate And Public Real Estate Diversification Benefits Pension Fund Liabilities
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000442642500002
PublisherGLOBAL SOCIAL SCIENCE INST, 51 MONROE ST, SUITE 1100, ROCKVILLE, MD 20850 USA
Fulltext Access
Citation statistics
Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.University of Texas-San Antonio, One UTSA Circle, San Antonio, TX, 78249
2.University of Macau, Av. Da Universidade, Taipa, Macao SAR
3.DePaul University, 1 East Jackson Boulevard, Chicago, IL 60604
Recommended Citation
GB/T 7714
Brian A. Ciochetti,Rose Neng Lai,James D. Shilling. The Role of Public Markets in International Real Estate Diversification[J]. INTERNATIONAL REAL ESTATE REVIEW,2015,18(2):155-175.
APA Brian A. Ciochetti,Rose Neng Lai,&James D. Shilling.(2015).The Role of Public Markets in International Real Estate Diversification.INTERNATIONAL REAL ESTATE REVIEW,18(2),155-175.
MLA Brian A. Ciochetti,et al."The Role of Public Markets in International Real Estate Diversification".INTERNATIONAL REAL ESTATE REVIEW 18.2(2015):155-175.
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