TY - JOUR
T1 - The long-run diversification benefits available from investing across geographical regions and property type
T2 - evidence from cointegration tests
AU - Tarbert, Heather
PY - 1998/1/1
Y1 - 1998/1/1
N2 - Previous studies of the mechanics of constructing a well-diversified property portfolio, where property is differentiated by sectoral or spatial dimensions, have concentrated on the correlations between returns of different types or regions. The correlation coefficients generated by such studies have shown evidence of instability, with differing results dependant on the time span, frequency, or type of data used. Nevertheless, the general consensus is that effective diversification can be achieved by investing across either or both regions and type. However, if property markets have a long-run tendency to trend together then the apparent diversification gains available by diversifying across types or regions may be exaggerated. This paper utilises cointegration techniques to provide an insight into diversification possibilities over the long run. © 1998 Elsevier Science B.V.
AB - Previous studies of the mechanics of constructing a well-diversified property portfolio, where property is differentiated by sectoral or spatial dimensions, have concentrated on the correlations between returns of different types or regions. The correlation coefficients generated by such studies have shown evidence of instability, with differing results dependant on the time span, frequency, or type of data used. Nevertheless, the general consensus is that effective diversification can be achieved by investing across either or both regions and type. However, if property markets have a long-run tendency to trend together then the apparent diversification gains available by diversifying across types or regions may be exaggerated. This paper utilises cointegration techniques to provide an insight into diversification possibilities over the long run. © 1998 Elsevier Science B.V.
KW - Cointegration
KW - Diversification
KW - UK commercial property
UR - http://www.scopus.com/inward/record.url?scp=0038201385&partnerID=8YFLogxK
U2 - 10.1016/S0264-9993(97)00011-4
DO - 10.1016/S0264-9993(97)00011-4
M3 - Article
SN - 0264-9993
VL - 15
SP - 49
EP - 65
JO - Economic Modelling
JF - Economic Modelling
IS - 1
ER -