International Real Estate Returns: A Multifactor, Multicountry Approach

Dice Center Working Paper No. 2003-8

28 Pages Posted: 6 Jun 2003

See all articles by Shaun A. Bond

Shaun A. Bond

UQ Business School

George Andrew Karolyi

Cornell University - Samuel Curtis Johnson Graduate School of Management

Anthony B. Sanders

George Mason University - School of Business

Date Written: April 2003

Abstract

We examine the risk and return characteristics of publicly-traded real estate companies from 14 countries over the period 1990 to 2001. Our data are monthly country-level commercial real estate indexes constructed by the European Public Real Estate Association (EPRA). We find substantial variation in mean real estate returns and standard deviations across countries. Using various global and country-level factor models, we find that there is evidence of a strong global market risk component, measured relative to the Morgan Stanley Capital International world index, in most countries. However, even after controlling for the effects of global market risk, an orthogonalized country-specific market risk factor is highly significant, especially for real estate indexes in Asia-Pacific markets. We find that a country-specific value risk factor has some explanatory power in addition to the country-specific market factor, but U.S.-based market, value and size risk factors do not provide any additional explanatory power. These findings imply that the international diversification opportunities with real estate companies are more complex than previously thought.

JEL Classification: G12, R33

Suggested Citation

Bond, Shaun Alexander and Karolyi, George Andrew and Sanders, Anthony Bown, International Real Estate Returns: A Multifactor, Multicountry Approach (April 2003). Dice Center Working Paper No. 2003-8, Available at SSRN: https://ssrn.com/abstract=404540 or http://dx.doi.org/10.2139/ssrn.404540

Shaun Alexander Bond

UQ Business School ( email )

The University of Queensland
Brisbane, QLD 4072
Australia

George Andrew Karolyi (Contact Author)

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

Ithaca, NY 14853
United States

Anthony Bown Sanders

George Mason University - School of Business ( email )

Fairfax, VA 22030
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,243
Abstract Views
6,752
rank
21,088
PlumX Metrics