Structuring global Property Portfolios: A Cointegration Approach
Year: 2013
Type: article
Abstract: We create globally diversified real estate portfolios using cointegration methods over 1992-2009. Cointegration is robust to intertemporal correlation instability, identifies markets that share common factors and long-term trends, and identifies leading markets that do not respond to deviations from equilibrium within each cointegrated region. Our cointegrationinspired model portfolios outperform the mean-variance optimized portfolio by 575-725 basis points annually. Differences in performance remain significant over separate time periods, and after controlling for various risk factors. Collectively, the results help clarify property portfolio selection and allocation policy vital for institutional investors and global real estate portfolio managers.
Source: Journal of Real Estate Research
Authors: John Gallo, Larry Lockwood, Ying Zhang
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2258949067