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| The Stability of the Covariances of
International Property Share Returns Author: Piet M.A. Eichholtz Start Page: 149 Abstract: This paper looks at
the covariance structure of international property share returns. Portfolio models, which
are used to generate efficient international asset allocations, require estimates of a
covariance structure of asset returns as input. Usually, the realized structure is used as
a proxy, but that is only valid if this structure is stable. We test for this stability.
We find covariances of international property share returns to be unstable, while
correlations are stable between some time-periods, and unstable between others. The
results cast some doubts on the use of standard portfolio models for the allocation of
international real estate portfolios. |
