International Economics

<< N°166

Issue Q2 2021  
Diversification potential in real estate portfolios  
Bertrand Candelon
Franz Fuerst
Jean-Baptiste Hasse Pages 126-139 Download PDF Data, Tools and Replication Section
In this paper, we study the international and sectoral diversification potential in real estate portfolios. Building on a unique dataset of direct real estate markets covering 16 OECD countries over the period 1999–2018, we introduce a statistical test to compare country-level and sector-level diversification potential. This new diversification test provides investors and analysts with a valuable tool as it delivers both estimates and robust significance levels. The empirical findings for real estate investments broadly reveal that international diversification dominates sectoral diversification.

Portfolio diversification ; Real estate markets ; Keywords
C23 ; F21 ; G11 ; R33 ; JEL classification
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