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| The Risk-Return Attributes of
International Real Estate Equities Author: Paul K. Asabere, Robert Kleiman, and Carl McGowan Start Page: 143 Abstract: This paper examines
the risk and return attributes of international real estate equities over the 1980-1988
time period. The empirical results indicate that international real estate equities offer
higher returns as well as greater total and systematic risk than U.S.-based REITs. The
results also indicate that international real estate equities are weakly positively
correlated with the return on REITs. International real estate equities achieve higher
values for both the Treynor and Jensen measures than either the S&P 500 Index or the
World Equities Index. International real estate equities also outperform domestic real
estate companies on a risk-adjusted basis. However, international real estate equities
underperform the World Equities Index using the Sharpe Index which suggests that
international real estate equities carry significant unsystematic risk. |
