Eres : Digital Library : Works

Paper eres2011_161:
New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts

id eres2011_161
authors Steiner, Eva; Alcock, Jamie Alcock
year 2011
title New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary A robust assessment of asymmetric dependence is crucial for determining the benefits of diversification associated with including real estate in mixed-asset portfolios, but analysing asymmetric dependence is a complex, multi-dimensional problem. Using Monte Carlo simulations, we identify the most suitable metric of asymmetric dependence out of a range of methodologies commonly employed in real estate finance: the Adjusted J statistic (Alcock and Hatherley, 2010). We employ this statistic to empirically examine the dependence structures in a large sample of U.S. Real Estate Investment Trusts (REITs) and a broad range of benchmark assets over the period 1997-2010. Our results suggest that when we control for linear dependence and focus on the strength, direction and statistical significance of higher-order, asymmetric dependence, the benefits of diversification offered by REITs are stronger than sometimes reported, while the dependence with bonds appears to be more complex than previously assumed.
keywords Diversification, Asymmetric dependence, JEL Codes G11, G12
series ERES:conference
email es434@cam.ac.uk
content file.pdf (438,001 bytes)
discussion No discussions. Post discussion ...
ratings
session B1: Finance and Investment (II), Diversification Benefits
last changed 2014/10/21 21:51
HOMELOGIN (you are user _anon_490405 from group guest) Powered by SciX Open Publishing Services 1.002