The relative effect of property type and country factors in reduction of risk of internationally diversified real estate portfolios and measuring contagion across national real estate securities indices.

摘要

This dissertation examines the influence of property type and country factors on the cross-sectional volatility and correlation structure of national real estate securities index returns. Using constrained, cross-sectional regressions to extract pure country and property type factor returns for real estate indices covering seventeen countries and four property types from February 1990 through November 2002, I find that property type specialization explains very little of the variance of national real estate securities index returns. Because property type effects are so small, country diversification is a more effective tool for achieving risk reduction than property type diversification. However, the relative importance of country effects is declining over time.; This dissertation also evaluates contagion among national real estate securities indices. Applying a logistic regression to daily returns of the 250 most liquid property companies in twenty-one countries during the period January 3, 2000 to November 29, 2002, I measure the coincidence of extreme return shocks within a region and across regions. I characterize the extent of contagion and its determinants.